Anyone ever think about building a dedicated room?

It looks like sometime in the future, when my girlfriend and I get married, that I'll be moving in to her place. She's currently living in a guest apartment in a house with plenty of space in the back yard. I've been toying with the idea of having a 15' x 25' (dimensions can be smaller) "shed" out back. I figured I could have it built with super thick walls and lots of insulation so that I could just use a space heater in the winter, and in the summer I guess I could open the doors and blow in some fresh air. All I would need would be some good electrical outlets and I'd be good, right? Have any of you thought about doing something similar and if so, what obstacles would I have? I don't even know if something like this would be worth it.