When I lived in town my shop had electric baseboard heaters in it. Not the most efficient, but it was warm. I've also got a Knipco style propane heater that works well. Not as stinky as the kerosene ones but still need some ventilation. I've thought a wood stove would be alright, but it's a bit harder to control the heat.
Dad has the infared propane ones. They are OK but it's about 1000 degrees under them, then the farther away you get the colder it is.
The floor heat in out shop at work is REALLY nice!