I agree with the idea that sheetrock is kind of a last choice. Tinker made some great points:
• you can screw anything anywhere
• no need to find the studs for most non-structural loads
• you can paint it white for better light in the shop
• a 'hit' to the wall usually doesn't result in damage
• adds structural rigidity
• may reduce sound transmission
The down side:
• More flammable than sheet rock - by far!
• You can't easily fill and tape the screw holes and seams, but from a few feet back i don't notice mine unless I look for them
• Can't be repaired like sheetrock - like if you cut an outlet hole in the wrong spot
I have 5/8" particle board on my shop walls, painted white. It wasn't so much a planned choice as a lucky happenstance. When they closed the Builders Square stores many years ago, they sold the pallet racking separate from the sheets of particle board that were the 'shelves'. Not a lot of people wanted the sheets of particle board because they had been cut slightly under 4' x 8' to sit between the rails on the pallet racking. I can't remember how many trailers full I bought but I *do* remember that I paid a buck a sheet.
The studs in my shop are 24" on center, so I ended up cutting the length to 6 feet to go center-to-center on the studs. The walls are something like 10' 4-1/2" high, so I used the width (or 'height' on the walls) that they came in - I think it was 45" or something like that. I only cut the final top piece to fit. BTW, I had a Holzer panel saw at the time so cutting the sheets was a cinch. Handling them by myself, however, was a real pain in the back!!! Thinking about it again is causing me retroactive back pain.
If I ever build another shop I would use plywood as my first choice, and OSB as my second. If you should ever decide that you want the taped seams and smooth look of drywall, you could always install drywall over the top of the other materials and get the best of both worlds. Plus, if you did it right, you'd get fantastic sound deadening as a side bonus!