There are a few components to a good security system.
- High Security Locks - The Physical Aspect (Keep them on the outside)
- Monitored Alarm Systems - Electronic Detection (serves as a good deterrent)
- Camera Systems - Video Support of Incidents (Does little to deter now-a-days)
Being a security professional, I usually recommend a bit of each. Install a few high-security locks with restricted keys, install a monitored alarm to protect the building, and install good quality cameras (not the cheap import crap).
If your shop is a ways from the house, you can also install a line of site wireless bridge which includes a transmitter w/ receiver. This will provide excellent wireless coverage from the shop to the house so you can run multiple data feeds. I have 4 cameras in and around my shop and it all communicates through a secure wireless bridge.