My preference is to not "finish" the inside of a shop.
But I live in a very moderate climate. I also usually open the 16' door on my shop when I'm in it, rain or shine.
My "new" shop has finished walls by others before me, but the ceiling is wide open and I liked that fine. Let me run a host of auxiliaries up there, air lines, electric, lighting, even my vacuum chucking for my lathes is tucked away up high out of the way. (Vacuum pump, tank)
And of course the shop Vacuum system, and dust collection runs.
I have a ventilator up near the peak to draw out heat and dust not caught in the systems.

But if you plan on heating, or even air conditioning, your shop, you need to insulate it and close it up. Not so much the big door, just insulate it well.
Dry wall is an excellent sound deadening medium. It's relatively cheap, and it can be covered with OSB or plywood for hanging stuff on, or general protection.
I made it clear that I had to have a shop, and an office room, for my junk. She has made sure to heed my wishes. She won't even let people bother me in my shop. She comes and waits until I recognize she is there, stop what I am doing and can hear her.
So I don't have a garage. I have a shop in what Realtor's call a garage. Half finished.

You'll have to do yours the way you want it. But I fully understand about the open walls and the space available there.
If you run your shop electrical system surface mounted, it can move (if ever) with the shop. One friend of mine had moved 3 times and his shop electrical system moved with the shop. Sub panel and all.