It's been my experience that electric heat, while clean and "flexible", meaning you can control areas heated very easy is the most expensive heat. Nat'l gas or LP is much cheaper to operate.
I would not go ventless if your garage or shop is attached to the house.
I insulated my 24 ft x 36 ft shop that has full 8 ft ceilings about 6-8 yrs ago, 3-1/2 to 4 inches in the walls and 6 inches all over in the ceiling. It cut the cost of heating my shop on weekends to about a third of the former cost. I still use a kerosene fired torpedo heater, 100,000 BTU, it can warm the shop up from 30-40 degrees to 60-65 degrees in 20-30 minutes and only runs maybe 10-15 minutes per hour to keep that temp. Before it used to run 30+ minutes every hour and take 40 to 60 minutes to warm up the shop.
One of the guys on another forum has an infared gas heater in his farm shop, it's a long glowing heating element with a polished stainless steel reflector behind it. They have a minimum distance you have to maintain beween the heater & walls, ceilings, and other equipment because they heat the objects in the shop, not the air, but they are cost effective heat. I'd consider installing one of those if I had more head room, or IN-Floor hot water heat so the concrete always stayed warm. But that's Big Bucks at time of construction. My shop's builder told me "NO!" on that idea.