Kelsey...
Brick or block is the option...
Moisture will be your enemy...so you will need to address this with either a relatively well sealed room with some way of removing humidity, or well designed cross ventilation system that will circulate air from all dead corners of the room.
If in a shed, you'll need to lay a membrane beneath the slab--its not an option--, or you may have long term moisture problems that even your standard waterproofing systems will not be able to stop without ultimately destroying the concrete.
If you know the position of walls before slab is poured, increase the depth of slab in those areas to a standard strip footing-300x300-- & throw in basic cage/ligature & bar set up through those areas as per min requirement for standard raft footing (house slab)...this will give you enough depth to chem set in starter bars/tiedowns later when the wall is built & not risk slab failure from point loads.
With all respect to the suggestions, forget the concrete covered shipping containers...thats just a very expensive exercise in guaranteeing a moisture & rust nightmare.
If you go & do a basic brick laying course, & get a little education of concrete slumps, aggregat sizes, no fines concrete & compaction, building something like Gamerancher's friend will be easily achievable, at a very good cost...!!
Or with a little more expense, what sungazer has done...
Pre plan the inside, & design the walls to suit, as the bricks/blocks are modular, & if well designed, you'll streamline the construction process saving even more money...like running conduit for cabling, water supply etc before filling.& its easy to build in secret wall compartments with besser block construction with un noticable doulbe skin wall, & under floor fire resistant nooks & tunnels to keep your illegal immigrant business flowing unnoticed...
There is a company out there that will design & deliver light weight hollow walls that consist of 6mm cement sheet skin with glued in thin steel skeleton...all you do is drop it on the ground, prop it (like a light weight tilt panel), slide the reo through it & fill with concrete--no form work required...
Sorry cant think of the name of it nor the cost,, but i have worked with it before but cant show you pics because it was a ADF build & i dont want a skud missile attack on my house...
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...(dont have any pics--couldnt take any tech devices on site...
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The man who knows everything, doesnt really know everything...he's just stopped learning...