The most important decision in setting up your station is the location.  It needs to be comfortable and have access to power, preferably both 120V and 240V AC.  If you wish to operate HF voice with a legal limit amplifier, you will need 240V service.  Lower power amplifiers may run on 120V AC.  CW and digital modes work just fine for most hams running rigs barefoot--100 watts or less, though modes like AM are difficult with poor signals.  Many hams do not find QRP voice enjoyable with normal antennas.  Lightning protection requires bonding the station ground to the service entrance, preferably with a straight run of copper that doesn't have to bend around corners.  Hams used to place their antennas as close to the shack as possible to minimize feedline loss, but that may allow the antenna to pick up noise from nearby electrical devices.  As such noise falls off quickly with distance, an antenna far from the shack may perform better on receive.  "You can't work them if you can't hear them" is a popular truism in ham radio.

Richard, K8JHR offers these ideas on on building a new ham shack.

Setting Up Your Station
QST July 1984, pp.16-19
Some hints and How To for putting together an operating table, getting coax through walls and windows, switching antennas and more.
Feedback: The diameter of the coils used in the "brute-force" line filter is omitted. They may be anywhere from 1 to 1-1/2 inches in diameter.

Most hams spend a considerable time in the operating chair, so consider getting a comfortable office chair for the ham shack. The Mayo Clinic offers this advice on office ergonomics.

A foot switch along with a headset can be a great "hands free" way of operating voice modes.

Tom W8JI has analyzed different house grounding layouts and commented on lightning protection issues.