That is a very wide question as it depends on what the shed is for, etc.
In the majority of cases (lights & couple sockets) just take it from a RCBO and it is fine.
In the minority of cases (used as a workshop, or big loads like a heated sex pond) then you might want it fed from a separate fuse-switch off the supply tails, but then you have to be sure the cable is safe without RCD protection (so in effect SWA all the way) and the garage CU then has to have a RCD or all-RCBO.
Cable requirements can also be influenced by the earthing arrangement for the supply and any extraneous metalwork at the shed such as metallic water pipes, etc.
But in all of these cases it is not DIY work, and in England and Wales it falls under Part P of the building regulations as notifiable work. Your best plan is to find a good electrician locally who is registered with one of the competent person schemes like NICEIC as they can do the necessary initial design and finally notify their own work without the fees building control normally charge to test & inspect.