I have a detached garage that is about 30? feet from the house.
It is an older unit that is all brick and insulated.

CY: Insulated is good.

I was looking into running a gas line and installing a gas heater.

CY: You want to work there once in a while, or make residence there? Or just
keep your storage from getting too cold?

Suggestions on digging depth and buying the correct gas line?

CY: Check with the local code people. Building department. While you are
trenching, you'd be wise to run another electric line, some phone wire, and
maybe cable for TV or internet. Even if you don't presently have plans to
use phone or internet. Best to have the wire available just in case.

Suggestions on heaters? There is an older chimney from an older gas
furnace.

CY: If you want a residential furnace for cheap, look at Goodman. For
occasional use, a vented or non vented wall heater "blue flame" or
equivilant could work nicely. Does the building have electricity? If not,
then you should run a line to power the furnace.

There is a gas line to the garage, but I think the house connection
was lost when the house was added onto.

CY: That's worth checking. Might save you a LOT of work. You may be able to
reconnect the gasline, and save yourself a lot of trenching.