We've just finished building our snake room. We got done doing the first room and will start the second and the top floor. We are using a garage at the moment.
An outdoor shed may not be the best. We basically built in room inside another if you imagine it. The shed is exposed to everything, and will need tons of insulation and electrical power for the extreme weathers. This is why I designed my rooms to be small.
I would suggest using your garage like I am, or use your basement. How about posting pics of where you want to build this so I can better help...
Here is what we did. I have a youtube vid out aswell:
Before:

Starting to get grimy:

Starting with the back wall:


My friend apply tar to the exterior walls by the door to act as a barrier against water, snow, etc:


A quick fast forward:

Framing the door:



Installing the outlets and wiring them up:


Applying the fiber glass insulation:


Putting up the walls:


A pic that kinda shows the finished product:

It's not a big room, becuase I wanted it to be small. This way, I can reduce the amount of heat and cooling needed during intense weather. Will have vids out shortly. Thanks for watching and hope you enjoyed.
Thanks,
KMR.