I've been using a small 35,000 BTU kerosene turbo heater for years, but kerosene is stupid expensive here at $4.59 a gallon. It burns very clean, but because it isn't vented to the outside it introduces a lot of moisture into the shop.
Last summer I put in some insulation and drywall (only got the walls done so far), but I can already tell it takes less heat to warm up the shop. I decided to try one of the 5000w 220v electric heaters to see how it would work. Menards has one for just under $100, and I have to say I think it is going to work.
Our electricity is 7.4 cents per kilowatt hour, so it comes out to 37 cents an hour to run it. An eight hour day is just under $3. Two and a half gallons of kerosene lasts 8 hours, and costs about $12. Right now I have 4 mil plastic up on the ceiling, but once I get my ceiling drywalled and insulated, it should take even less heat to make it comfortable in there.
I would love to put in a small natural gas heater because NG is the lowest cost form of heat in our area, but I would have to cut a hole in the roof for a chimney and run the gas line for it. I'm not quite ready for that yet. If and when I do put in NG heat, then I will be able to keep the shop warm 24/7 in the winter. Looking forward to that.