In reply to Punter S Thompson:
It depends on your bike.
The more expensive, the more you'll need to protect it.
Friends have had bikes stolen from sheds (broken locks and lifted roofs) and from garages (metal doors are easy to crow bar up and bend like an flap.
What ever you go for, remember to bolt to the ground and have a small motion detector style alarm in the room. Also motion sensitive lights outside help.
If you go for a shed, plenty of locks top and bottom, round off screws, extra screws on the roof as they are easy to lift off.