I put my gym over my garage and installed an electric space heater with (I think) 10,000W. It's what you see in auto repair shops. It's mounted on the ceiling and blows superheated air out. If I crank it up, it can warm my 800 sq ft gym (yes, I'm spoiled) by about 5 degrees in 20-30 minutes. In winter, my gym is usually around 40 degrees when I get home and will get up to around 50-55 in not much time. That is warm enough that you're not freezing your balls off. I also have it on a timer so that I can set it to kick in when I want it.
I think the heater cost around $300 (search for electric space heater). It needs a 220v circuit so that may cost a bit more.