We have one of these in our garage at home; I wouldn't even consider any other kind of heater now that we have it:
http://www.teksupply.com/contractor/...4_106026P.html
If your shop is big, they have straight tube instead of u-tube heaters:
http://www.teksupply.com/contractor/...c_103192L.html
If I did it again, I would get the 25K instead of 45K BTU unit so it would actually run for awhile. We keep the garage about 55F all winter (-10F outside sometimes) for about $25/month in natural gas. (You can change between 25k - 35k - 45k with just an orifice change; I've just been too lazy to order one.)
The floor is always warm. No matter how much ice/snow melts off the cars overnight... the floor is dry in the morning. Plus there's no fan blowing stuff around while you paint (there's a fan in the combustion unit but it draws air through the burner and exhausts it outside). You get super-fast recovery after you close the overhead door because a lot of the heat is stored in the floor and spreads out naturally to heat the air back up quickly. The only downside is if you have a low (8') ceiling it gets hot standing right under it (the higher the better, but the 25K BTU would be better for us that way too.)
You can set them up to draw and/or exhaust outside. Ours draws from inside the garage and exhausts out through the wall.
At work I have hanging Reznor/Modine style heaters that work OK as long as you have big-ass ceiling fans running all winter to force the heat down toward the floors. You can get them in "sealed combustion" units that draw and exhaust outside; the last one cost me $2800 installed. I'm going to replace at least one with a straight-tube radiant unit.