The latest Fine Woodworking Tools & Shops issue has an article on shop
heat that would be worth reading. In your case, the first question is
what source of power/fuel is available? Do you have sufficeint electric
capacity for a few kW of heat? Piped gas?

My basement shop (orignally finished as a rec room) had electric
baseboard heaters, which accumulate a lot of dust and then toast it and
circulate it through the air. Not good to breathe, and a could be
potential fire hazard with sufficent dust accumulation. The baseboards
are now disconnected, and I use a small forced air electric heater,
which works well with frequent cleaning. If I were to upgrade, I would
look hard at the radiant electric heaters from Lee Valley
(http://www.leevalley.com/wood/page.aspx?c=2&p=44590).