Natural gas definitely most efficient. Clean and not all that expensive. Electric forget it too costly. Kerosene heaters will gas you out of the garage. Wood,,, work intensive and can be more dangerous when you factor in chain saws your time and if you stack it near the house beware of carpenter ants and termites they love wood piles.
Heat a 1,000 sq. ft. garage all winter long for less than a buck a day with the T-stat on 48 degrees. Bumped up to 58 when I'm in there that is plenty warm enough. This is with an energy efficient gas furnace not a Modine hanging unit. Heck a bottle of water costs that much and it comes from a tap somewhere anyway
Start up usually first week of December shutting it down mid March. Have water out there too.