A workshop appears to be exempt from Part L (Insulation) of the building regs but not Part P (Electrics)...
http://www.planningportal.gov.uk/england/professionals/en/1115314269469.html

To comply with Part P of the regulations you elther need to get a qualified electrician in to do the work and issue a certificate OR if you DIY you have to make a Building Control Application. If you want to go the DIY + Building Control Application route you should check with your BCO what's required before you start. They might require drawings and they might want you to get a Periodic Inspection Test done by a qualified electrician anyway.

As for insulation.. You need to avoid condensation occuring on the cold side of the insulation. This is less important for a concrete garage but potentially serious on a timber framed house/roof. The normal method is to ventilate the cold side of the insulation so that any water vapour that does get through from the warm inside can escape. This probably won't be possible with a concrete garage wall so you probably should ensure you do a good job of the vapour barrier on the inside of the insulation. Particularly if you plan to use bottled gas heaters that give off a lot of water vapour.

Walls - I would probably fit stud work with insulation betwen. Then a vapour barrier (plastic sheet with all the joints taped) and then either OSB or plasterboard. OSB has the advantage that you can easily fix to it without needing to find a stud.

Roof - If the eaves of the garage are ventilated then I would batten out to create a 50mm ventilated void above the insulation. eg Fit insulation under the battens then vapour barrier and plasterboard.

If you decide to go for the windows - Before insulating the roof.. Make a wood box frame the same depth as the battens and insulation. Fit below the windows. Fill the gap between the frame and the underside of the roof with the special wavy polystyrene edge insulation you can get from most DIY or builders merchant (I'd be tempted to use two or three side by side to improve the insulation) or better if you are a woodworker you could cut the frame to match the wavy roof and seal any gaps with some expanding foam. Expect some condensation on the roof windows - mastic the frame to the underside of the roof or at least put a bead around where it mates with the roof. Paint the frame to stop water damage. Try and space out the windows so they don't block the ventilation above the insulation.

How much insulation... To comply with the building regs it would probably need something like 120-150mm of Celotex in the roof.

Ideally you should get a condensation risk analysis done. This works out the possibility of getting condensation in the structure (nothing to do with condensation inside the building itself).

You should also consider some ventilation of the room itself. This should be designed to allow moisture to escape to the outside directly without going via the structure. In a house this is done by the trickle vents in the windows. You might need to add something to the door or install a roof vent. The problem with a roof vent will be finding a flashing kit for the corregated roof.