IMHO, they're great- especially in colder climates.
Once you get past the original cost of the heater, you can fuel it for free- so the only costs are electricity to run the blower + maintenance on the heater (filters, cleaning the jets, etc).
I would run a good filter/water separator in the supply line to the heater, but I think most of the heater "kits" include this.
One thing to consider is how long will it take for the heater to pay for itself. If you live in a really cold climate and use the shop/garage ALOT in cold months, then it probably won't take long.
If you live in a more moderate climate, or don't do alot of work in that building during cold months- then you might want to consider another type of heat.
My shop is well insulated, and it doesn't take much heat to keep it comfortable in cold weather. I did buy a waste oil heater- got a good deal on a lightly used one here locally- but I have not installed it yet. Now I get by with a small 240v space heater, which works OK to make it bearable, but it's not enough to get it what I would call "comfortable" in really cold weather.
I have been saving my used oil, and I don't think it will be a problem finding people who will give me theirs if I don't produce enough to run the heater. Friends and neighbors would be a good place to start if you need additional "fuel"....