Before you run the wires to any receptacles or lighting, you should first run the wire thru some type of disconnect, at the shed, in order to shut down the power to the whole shed all at once.
A double pole 20 amp light switch, which some people here call a "snap" switch will do. Then from there, you can run the wiring for your receptacles and lighting.
I did this exact thing when I ran the power to my shed. I have a single 20 amp GFCI breaker coming off of my house panel, with the wiring coming out to the shed. There I have a switch set up for the power disconnect, and then from there the wiring goes to two receptacles and also to the lights with their own On/Off switches.
I am a member here today because of the Google search I did years ago, and found the great advice and knowledge people have here about everything that had to do with getting power to my shed.
I followed everyone's advice, installed the power to the shed, and became a GJ member!
Jim