My first suggestion would be to make use of the search function here...there have been plenty of similar discussions on this subject.

Having said that, generally what is done is to install a subpanel in the shop that is fed from a single 240vac breaker in the main panel in your house. The subpanel will then have branch circuit breakers for lights and outlets, including both regular 120vac convenience outlets and 240vac outlets for power tools. In some cases it's possible to have a totally separate electrical service to the shop, but that's not very common and may not be allowed by your local electric utility (every utility has their own rules and regulations, so you can't necessarily go by what someone else did in another area.)
The capacity of the subpanel will depend on the size of the shop and what kinds of tools you will be using, as well as any requirements for heat, air conditioning, etc. It will also depend on the capacity of the existing panel in your house - you need to make sure that adding the shop loads into the mix won't overload things. A typical installation, assuming you have a 200 amp service to the house with adequate capacity, would be to put a 60 or even 100 amp subpanel in the shop. Again, this will all depend on what capacity you have in the first place, and it assumes the electrical service to your house in in good shape...if it's a 40 year old panel, it may be time to upgrade it as well.
From a distance, and not knowing where you're located, it's hard to make any specific recommendations. The first thing to do may be to pick up some reading material - the big box stores like Home Depot or Lowes generally have a rack of do-it-yourself books that will include some books on electrical work. You may be able to find the same sort of thing at the local library as well.
There are a lot of fine points about this sort of installation, like grounding requirements, cable and conduit size, location of the panel, routing of the wire and so on. Depending on your location, the work may require a building permit or even be required to be performed by a licensed electrician. Chances are you'll have to at least consult with a local electrician to get an idea of what has to be done.