Metal can make an attractive and practical alternative. Roofing panels have a rustic look, are waterproof, and you can use magnets on it. I'm going to use metal partway up the walls in my workshop. If you use metal, find a rolling mill that actual makes the stuff, as it will be much cheaper than the big box stores, and they will cut it to the exact size you want. If you run the metal vertically, you will need horizontal strips of wood (purlins) to fasten it to.

If there is a building code it will almost certainly require an attached garage to have some kind of drywall on the wall shared with the house. If there is a habitable space above the garage, the ceiling must be drywall and there must be drywall on the structure that supports the floor/ceiling assembly. Sometimes the drywall must be fire resistance rated.

In that case, you you could apply another material over the drywall but not in place of it.

A detached garage would have no code requirements for the wall finish.

There is NOTHING cheaper than sheetrock that will meet fire code, and that is true whether you're talking garage or an interior wall. There are several more expensive choices, like the metal idea above. Any other type of wall cladding that isn't fire resistant must be installed on top of sheet rock.

If there is any type of fire requirement metal requires clearance space behind to be effective, and often multiple layers stood off from each other.

Ditto what Hollysprings said. We plan/planned on putting 3/4" thick T1-11 siding (minimum thickness required for code) in our garage which has 12' high walls and it's going to be almost double the cost of fire rated sheetrock. As much as I dislike drywall in a garage we very well may switch to save a bit of $$.

Yes, I was thinking of the metal as an alternative finish over the drywall. Even though it is detached, my workshop will in fact have drywall, with the metal over it.

Thanks for the posts. I was pretty much resigned to the drywall. Perhaps at a later date I can do something with some metal.

I have slat wall in my garage and love it. I wouldn't do it head to toe but a good portion. It's the stuff on the wall at the shoe store that you can hang a bunch of different shelves or accessories to keep things off the floor. You can buy 4x8 sheets cheap and paint it Anthony color.