You didn't mention the climate conditions. That will make a difference in the answers to most of your questions. Sounds like you live in a hot, humid area - true?
No doubt, insulation in attic and walls would be of value. Can't say if your roof would better use ridge vents or other type of venting. Probably a window AC unit would reduce humidity.

Yes, its a hot, humid area. Houston, Tx.

My main concern is keeping the garage dry enough to prevent the wieght equipment and that fancy stairmaster my wife had to have from rusting.

I think you need to do the full interior finish. Insulate and drywall the walls and ceiling. Add vents for the attic. Ridge may be a lot of work. How about a gable end vent or one of those wind driven turbines. Thermostaticly controlled electric exhaust fan may be better in TX. Be sure to add soffit vents to let cooler air in.

Window AC will cool some and definitely dry out humidity. The most effective way is to leave the AC always on to keep humidity down. Maybe a small central system would be more dollar effective since it will probably be more energy efficient. Of course this is useless if you still use the garage as garage and open the big doors. Or are you going to separate the garage from excercise equipment?

If you have a lot of rain or high water table, you may want to paint or seal floor to keep moisture from rising from below.