Right off the bat, you're going to face the issue that your HVAC system is sized and balanced for your house, minus the garage. If you add a vent (esp. in your main trunk) in the garage, you're depriving the rest of your house of that heated (or cooled) air.
You might find that your house doesn't get hot enough in the winter, or that your unit is struggling to keep up with the added load of the garage. This is especially true in a 2 car garage -- a lot of heat loss around the garage door(s), even if you insulate/weather strip as well as possible. The R value of insulated garage doors is almost always going to be less than that of a house wall.
If you're going to be using hazardous products and/or generating sawdust, then a return into your main HVAC system is definitely not a good idea. However..
With no return, you're basically taking nice heated (or cooled) air from inside your house (via the house's return), and ejecting it into the garage, and then to outside.
And if you insulate/seal the garage too well, then w/o a return or any place for air to escape, you will not get much airflow out of your garage supply vent.
You mean which is the supply vs. the return? Either way, both should just be a plain duct, likely insulated, but not double walled (duct within a duct).
If you're absolutely set on this idea, then you should find a louvered vent cover that can fully seal when closed (so that when you're not in the garage and you close the vent then your system is back to normal), and that does not protrude into the main trunk and block airflow.
I hate to say it, but you're probably best off installing a heater specifically for the garage, e.g.:
It may actually save you money in the long run..
