I'd definitely have:
A compressor closet so I wouldn't have to listen to it
Plenty of places to connect an air hose
Plenty of 20 amp 120v outlets scattered around
Some 240 outlets, amperage depending on what I have or might have
If it was close and cheap in install, a 3 phase service (lots of 3 phase machine tools seem to sell very cheap on craigslist)
At least a sink if not a small bathroom
A larger sink with hot water for cleaning parts such as a carb after soaking in carb cleaner
Some sort of heat, probably a wood stove
Acoustic insulation if you're close enough to the neighbors to generate too many complaints
I'd really like a home made gantry crane as it would make things like removing a cab easy to do by yourself
