I have read some good and bad advice on this thread, as a crime prevention officer I have seen many garden shed/garage/workshop breakins. I don't wish to be an alarmist but once a shed, or house to that matter has been burgled the victim is something like 8 times more likely to become a victim again if retrospective maesures are not undertaken, the burglar knows how to get in, what security you have and what you have worth nicking. Usually after about six weeks, time enough for your insurance to have paid out and the tools are replaced. They might be thick but not dumb and they are good at what they do...it's their job
Most thieves are after the easy option, they will always look for the point of the garden most easily compromised, they are not after a challenge. If you have a blind spot (lacks surveillance from the house or adjacent buildings) or the boundary line is easily negotiated then start at these points first, work from the outside in, creating several layers of security. Be careful as an agent of the property you will be responsible for any little darling who stumbles into your lion pit or machine gun nest. It would seem common sense to everyone that if you trespass on someones property you would expect to be caught or punished, no so a court of laws way of thinking. The excuse of "sorry your worships, I knew it was someones garden but my ball went over the fence and when I went to retrieve it the land mine blew my foot off" sound ridiculous, of course it does but he would walk away (no pun) scott free while you would have to mortgage your house to pay his compensation. You can of course take reasonable steps. The point of what is reasonable is the issue which will be debated. For example if you put some 'defensible topping on a 8' fence with a sign stating, caution, this fence is protected, this may be reasonable, but having the inside of the fence wired to your electric supply would not be, sorry to state the obvious but these methods have actually been used.
Time is the burglars enemy if you can slow him down or make him think how he is going to get out he will think twice. So don't leave your dustbin or compost bin against the inside of the fence, it becomes a useful limbing aid for getting back out. Appropriate lighting is an excellent "security" deterrent. Avoid at all cost PIR lighting. It can create the fear of crime and will only come on when someone is in your garden....too late, he has already made his mind up to come in. Instead use photo cell lighting, comes on when it get dark, off when it gets light. It doesn't need to be bright, but put enough lamps in to cover vulnerable areas, including the perimeter of the workshop. Try to avoid the lamps from creating pools or pockets of shadow. The new 7 Watt long life bulbs burn about 1 penny of electric a day, well worth it I think.
Target hardening a workshop can be difficult, particularly if it is remote, again time and noise is the enemy of the burglar so anything to slow him down will work. I must admit I have never heard of suspects coming through a roof in a domestic garden workshop although several remote farm buildings have suffered from this although I do recommend internal cladding should they decide to come in via the siding. Alarms are also useful, although someone on here stated that no takes notice of an alarm, I don't know of any instances where a burglar has hung around waiting for someone to take notice of it. A shrill alarm will send them running and give you some indication that you are under attack. I have a little panic alarm attached to the door of the workshop attached to a loop and a hook which pulls the cord out if the door is opened. i've set if off a couple of times myself and still makes me jump out of my skin.
Property marking your tools will also help (your postcode followed by your house number will also help dissuade burglars from nicking them, makes then harder to sell on and handlers don't want to be caught with them, kind of difficult to explain to plod why you are holding property belonging to someone with their postcode on it.