I am pretty sure, and the others here can clarify, that you need a subpanel with ground rods for a detached structure. The wire you will want to use is THWN. This is rated for a wet location (buried conduit is considered a wet location).
Where will the conduit be leaving the main shop or entering the small shop? Above grade or below grade?
Before I provide some details (that I learned here) on installing a subpanel, I'll let one of the other experts post as to whether or not you have to put one in.