We built a garden shed for my wife many years back. It started as a wood shed kit from Home Depot, then we re-designed some of the walls to put in some windows and French doors. We put a skylight in the roof, insulated it all, and put up chipboard for walls after I wired it for electricity. Some cupboards/counters from the local building recycling store, and the result is a nice space.

It was fairly straightforward, a lot of fun, and extremely useful.