The very first decision you need to make if you are going to build a shed is what you are going to build it with. Many people who build sheds are more interested in saving money than in making an architectural statement, and so use inexpensive or salvaged materials. This is fine, as long as you avoid compromising the structural integrity of the shed.
Wood is the most common material that is used to build sheds. Buying a truckload of pine boards is an expensive way to build a shed, so most people rely on less expensive wood products such as 4-by-8 foot sheet goods. Another way to save money on wood is to find some used lumber. If you live in a rural area, you may be able to locate a farmer with a derelict barn who is willing to give you the materials in exchange for you tearing down the barn and cleaning up the site.
Pressboard is made out of leftover wood scraps from other products, held together with adhesive and made into 4-by-8 foot sheets. It is probably the least expensive wood product on the market, and so is widely used for utilitarian applications such as sheds. The problem is that this product is not designed for exterior use, and will deteriorate over time when it is exposed to the elements. If you really want to save money, use pressboard for the interior walls or shelves, but you are asking for trouble if you use it for the exterior siding.
Corrugated metal is a durable material that is frequently used for roofing. For shed applications, it can also be used for walls by attaching it to the outside of the shed's wall studs. A corrugated metal shed is not the most aesthetically pleasing building you will ever see, but if the shed is soundly constructed, the metal is very effective at repelling both harsh weather and opportunistic rodents. Corrugated metal roofing is very common on old barns, so you may be able to get some along with your used lumber if you find a barn to disassemble.
Cob is a very ancient and traditional building material that is made of soil, sand, straw and water, mixed together to form a substance that is similar to adobe. Cob construction is very inexpensive, but also quite labour intensive. If you have more time than money on your hands, cob may be the ideal building material for you. As long as it is kept dry, cob is very durable and can last for hundreds of years. A shed built of cob with a roof featuring large overhangs creates an aesthetic sight that melds well with the surrounding landscape.