At my old house I used a portion of the basement that had a separate entrance.
At my current location, the house came with a small shed the former owners wife had used for storage of her eBay stuff. A bunch of my regulars spent a couple of weekends running power to the shed, sheetrocking, painting, installing security features, etc. It didn't quite have the feel of an Amish barn raising....
I wish the shed was somewhat bigger,and some of the regulars want me to build out for extra floor space.
At this point after 27 years as an FFL, I think I'm only going to be here for another four years or so. I'd like to take the FFL with me when I leave NYS, but I expect that by then I'll want to be in a part of the country where it's not really possible to have much of a customer base due to low population density. So probably not worth keeping it. We'll see......