With our freezing cold Ontario winters, you definitely want a well insulated place for your bun.
Either glass fibre (that pink insulation you see), or polysterene slabs. Any chinks/tiny openings in the walls/corners should be filled with blown in insulation. Insulation will help keep warmth in during the winter, while keeping the cold out.
Here are a few links to insulating a shed if you need any more ideas:
http://www.diynot.com/forums/viewtopic.php?t=16959
http://ezinearticles.com/?How-to-Build-a-Shed&id=13586
(You probably knew that insulation stuff

... figure some other folks don't though

)
Is the shed well protected from the wind?
Is there a vent in the shed for air exchange? Otherwise, it could get really stuffy in there...
Will your bun be coming into the house, or will you be going out to spend time together?
The physical transfer btw the house and the shed could be really taxing on a bunny body, so it would be best to limit exposure to the cold. If your house is super warm, and the shed is so-so it will be tough on his body to move back & forth.
A heat lamp would be cool if you can do it
I second the vote for straw

lots & lots & lots of straw to tunnel about & nest in!