I built a bench last year from 2x4 construction. I have no shop, but wanted to learn woodworking with hand tools, so I built it in my back yard, sealed it with Thompson's Water Seal, and have been building on it.
I have thought about erecting a small shop, and will most likely do so in the near future, but....
I would sincerely miss working outside. Working in the sun, under the trees in my back yard, with the birds singing, the squirrels scurrying through the woods behind me. Just an incredibly satisfying experience.
I think that when I build my shop I'll build a second bench just for work indoors, and keep my bench in my back yard. I'll utilize the shop in inclement weather, and in winter months. But I could not altogether give up my outdoor bench.
If you have the space, I would suggest you try it. It is immensely satisfying.