I don't work out in my garage because it's full of motorcycles, bicycles, shipping supplies for my side gig, and is rather small to start with. :) I'm happy to to have a walkway through it.
Regarding heating garages, though, the kerosene torpedo heaters are great (assuming you can get kerosene locally at a reasonable price). They burn a gallon an hour or so (so maybe $3-$4/hr), and will heat up a very cold garage in a hurry. I was parting out a car in Iowa, and that thing running firing into an uninsulated garage could get it up to a workable temperature in half an hour, and even warm the car up enough that I wasn't freezing my fingers to the frame.
I've just got a little wick style heater now, but it works fine for my much smaller garage in a warmer climate.
You don't need a gas line to heat the garage - kerosene heaters work fine. Or propane, though the bigger tanks can be a bit of a pain to haul around, and don't work well below about -40.