Natural light is a wonderful thing -- the more, the better.
Depending on your location, windows could be a major concern.
However, and it's something many seem to overlook, check out industrial building, especially those built in the 40s through 60s -- natural light was a big money saver for these facilities, and, in major urban areas, windows were a security concern - lots of ways to overcome that, however:
Windows up high on the walls
Long, narrow windows (Arts&Crafts style), to make it tough for anyone larger than a 5 year old to get through
Security covers over the glass (grates, screens, et al -- these may not please the decorate in your life, though -- not many women want to have a small factory in their back yard)
Glass blocks
The bottom line is, you simply cannot stop a determined individual from breaking into your shop, if they really want to get in. You're deep into risk/benefit analysis at this point.
Just make sure to have fun!