When I do something as you've described I usually install a separate disconnect at the power supply, run underground conduit from disconnect to a breaker panel in the remote building, and then run branch circuits from breaker box to lights, outlets, etc. in the building. You can save a little money by not using a disconnect at the power source, but it's nice being able to isolate the remote building when adding circuits or trouble shooting.
Depending on the distance of the remote building from the power source, you can install the disconnect on the building for convenience sake, inside or out. I like using the handy disconnect as a way of killing all power during any emergency situation. You can design the installation in several ways, depending on your preference, just make sure all circuits are protected with a circuit breaker or fuses. You may wish to also use a GFI (ground fault interrupter) for some additional safety. Good luck...and have fun