There are lots of options, depending on how the space is going to be used and how likely you are to change it in the future.
Will this be a "showroom" or a workshop? Is it attached or detached? Is there living space above? The obvious typical option is drywall, which has some advantages: It's relatively cheap, easy to finish off with smooth finish and nice paint, and potentially very important if the answer to the above questions are attached or living space above, it is fire rated when installed properly.
As already suggested metal is another option for a "nice" finish. Vinyl, either perforated or solid depending on what's above and whether it is heated or not, is another "nice" finish.
I, like kd3pc, went with OSB on the walls and ceiling. Not because it was all I could afford, but because it was going in a detached workshop garage and it was ultimately more functional for me. It was easier to hang by myself. I used a drywall hoist to hang 7/16 osb on the 12' ceilings working alone. This would have been difficult to do with drywall working alone as the sheets would tend to break without 2 people supporting them to lift them onto the hoist. Since this was a detached garage with no living space and sufficiently distant from the main house and property lines I didn't have to worry about firewalls or sealing the joints between sheets.
Beyond ease of installation, the obvious advantage is that I can hang all but the heaviest loads on the walls anywhere without worrying about finding a stud. A less obvious advantage is that since I didn't "finish" it off, i.e. I didn't conceal the screw heads with tape and mud, like you typically would for drywall, if I want to run a new electrical wire or air line I can remove all necessary sheets easily.
It doesn't look quite as "finished" as other options but that wasn't my main concern.
For lights, I did choose based on what I could afford. By the time I got to lights I had already spend not only the money I had allocated to the garage, but also the money I had allocated to a kitchen makeover. So, I installed ceiling boxes every 6' and over the work bench I installed fluorescent 4 bulb fixtures and everywhere else I installed "Key" fixtures. These are the type you typically see in attics and under the house, just a single screw in socket. Most of these have 100W equivalent CFLs, but a few have LED floods. This works pretty well. It's not as bright as I might like it, but not dim by any stretch. Very functional and inexpensive. Later I can easily replace some or all of the key fixtures with fluorescents or LEDs. Lighting type and amount really depends on how you are going to use the space. My main house garage has the same key fixtures, but not nearly as many. It would be far too dim for any real work, but for coming and going in our regular cars it is minimally sufficient. Can lights will look more finished, but can be less functional depending on what type of trim and bulbs are used.
Good luck on the remodel.