Access, Dust, Noise, Lighting. Sorta disjointed thoughts
Others have mentioned these points at some point. One real benefit-no significant heat/air conditioning costs. Offsetting the environmental savings is the need for more lighting. There are good sources for lighting information re # of fixtures, what type of lamp etc. available online. It'd be worth considering a ceiling of some sort painted white which would help with the lighting. Light/White walls would help as well. If you do ceiling/walls, you have to think about access to plumbing, electrical etc. You want good dust collection regardless of where your shop is located but having the chance of dust spreading throughout the house adds importance.
Re noise, I just have fiberglass insulation and SWMBO doesn't complain about noise, but then I don't do that much jointing or planing which are my noisy operations. Fiberglass is cheap and there are fiberboard-type materials available that are supposed to help with noise damping Either a walk-out basement or Bilco type stairs is very helpful. Moving sheet goods and heavy machinery down interior stairways is pretty undesirable.
HTH
Curt