That's one nice shop you have there Islandgirl. I'm totally jealous.
As for your question, all of them will work, it just depends on what you want to get out of it.
OSB is the cheapest at around $8,00 a sheet for 3/8ths. Not water proof, but resistant to mould etc.
Drywall is next at about $10.00 a sheet for 4X8. Designed for the job, but in high moisture situations can mould or even break down over time.
Plywood costs the most at around $14.00 a sheet for 1/2 inch. resists mould and won't come apart unless it's soaked for long periods of time.
All three will do the job but Fish-Hunter is right. If you want any kind of longevity out of any of them you need to paint it. All wood products require a base coat of stain sealer or you get the yellow tannins from the wood bleeding through the paint, no matter how many times you paint it. I'd recommend one of the KILZ products with a really good exterior paint over top. I prefer to use latex products, but oil's good too, just messier. Semi gloss will clean easier than satin or eggshell.
If you want to go crazy, and moneys no object, I'd go plywood and then put FRP panels on the lower four feet. FRP's are Fibreglass Reinforced panels and are used in all kinds of high traffic and moisture applications. They're an 1/8th of an inch thick and glue on over any of the products you mentioned. Once they're properly glued in place they're almost indestructible plus they're completely water proof. Take a pressure washer to them and it's all good. The only issue is that they're not cheep, something like $30-60 each for a 4X8 panel. That's why I'd only do the lower wall where dirt and damage are likely to be an issue.
This looks like it's going to be a long term investment for you so it might be worth taking a look at.