As others have implied, it depends a log on what sort of area you're living in, your budget, and they value of your bike(s).
If you're in a dodgy area, and your back garden is relatively accessible, and you can afford it, a dedicated metal bike storage unit is possibly the way to go. For my house the area isn't particularly noted for theft, and my rear garden is relatively inaccessible, you need to either cross a wide well fenced railway line or climb through multiple gardens and fences. In this sort of situation a traditional wooden shed is probably enough, although decent locks and something to secure them to are a good idea.
A wooden shed is really just for protection against the elements, it gives little security, aside from making it harder to know the bicycle is there.
Ultimately you need to make a judgment over what the risk is, and how much you're willing to spend.