The simplest way is to put up OSB, and primer and tape the seams, including where the sheathing meets the wall. For tape use a product like siga wigluv. Then blow in cellulose on top. This give you a good air seal for relatively cheap, and inexpensive insulation that has decent properties. If you want to put up lights and drywall then put in 2" sleeper strips on the bottom side of the OSB and attach your drywall to that. This gives you a good wiring chase, and you don't have to cut holes in your air barrier for your electrical boxes.
How far along in the build process are you? If you haven't started framing yet you should stop and get your insulation and air sealing details decided before you proceed. It is much cheaper to get those details right than it is to either pay for the energy cost do to mistakes or to fix them later.
Is this an Attached Garage? What are the uses for the work shop going to be? Since you are wanting to insulate I am assuming you will want to heat and cool the space. If so and you wish to have good cheap to run climate control then insulation and air sealing details are important. Just as important, however, is ensuring you have proper ventilation. Which ventilation scheme you chose is a matter of the use and design of the space, and personal preference.
