The number of windows, and the size would be of interest to me. The height of the walls as well- if you'll be using it for a number of things, do you want to make it two stories, or at least a loft for holiday decorations, etc?

I second getting a bigger panel than you think you need. Do you want a deepwell or garage sink there, for easy clean-up?

I'd certainly insulate. From what I understand of Wyoming, there is a great deal of wind. I'd do whatever was needed to make it sturdy against the elements that are particular to your section of the state. You may even find yourself wanting to plug in an electric heater in the winter.

Will it be a stand-alone building?