Depends how far you want to go, some of these suggestions are more practical than others:
Security light and alarm.
Panel the inside or add a steel security cage.
Add bars to the inside of any windows. I used a couple of old iron gates that were left behind by the previous owners.
Any external screws should be replaced by fittings that can’t be unscrewed
Curtains/blinds/bits of old cloth so you can’t see into the shed, better if these also obscure the bars as well.
Reinforce the door frame and add a proper heavy duty door with deadlocks top and bottom, (keyholes would be barely noticeable from a distance), then add a normal padlock on the outside.
Make sure the roof cannot be easily lifted/levered off.
If the shed has electric make sure the supply to the shed is turned off when not in use.
Keep all cutting tools either in a separate location (not very practical) or in a very secure locked unit of some sort.
Grow spiky plants around the perimeter of the shed.
[edit]
put metal plates behind the hinge bolts inside the shed to stop them being pulled through the wood.
Forgot about that one, take it from someone that’s been stung this is very good advice.