It sounds like your mains supply is three phase. If you are interested in old machine tools (Lathes, mills etc.), most above the entry level hobby ones have three phase motors so you'd do well to run all the supply phases to your workshop.
Apart from a clean ground always being preferable for test equipment, if this shed is an
outbuilding it may be dangerous to extend the house ground (PE) conductor to it and a separate local
TT grounding system plus a RCD (GFCI) protected electrical distribution sub-panel for the shed may be necessary. If the mains supply has TN−C−S grounding its a red flag! If its attached to the house, you may have no choice other than to extend the house ground conductor to it.
Consult a fully qualified local electrician to determine if you *NEED* a separate grounding system or even if its permissible to install one, as it depends on your local electrical code (regulations), the type of grounding of the electricity utility company's consumer supply distribution network, the quality of its maintenance and the risk of utility company supply and grounding conductors being vandalized e.g. by copper cable thieves.