I've built stuff mainly at three (or four places).
I started out with a class at Cellspace in the winter of 2000. Scott Kildall and I then spent the following summer building the shade structure for bman at cell and worked our way into becoming permanent members of the shop. Cellspace is an interesting place and while the shared shop out back was a wonderful place to start, it got a little cramped, and cell was more interested in spirituality than metal and severely restricted the number of hours you could use the shop.
Around Nov 2001 I joined the Shipyard. I talked Scott Killdall, Dave Bayer, and Yael Braha into sharing four containers with me, we called it the cube. Scott and I did the majority of the build out. Welding the containers together, pouring footings, running electrical, fixing doors, etc. Here are some photo's of the buildout: index.htm
It was an epic amount of work. Alas, the city partially shut us down in May 2002. I lived in San Francisco and got tired of the drive and moved my shop to the Ranch in oct 2003. The ranch was a treat. Its a shared warehouse where the bottom floor consists of shop rats. Mainly metal/kinetic sculptors. We had a shared shop, and some shared tools (i.e. other people used my mill/drill and I got to use their lathe).
I also took a bunch of classes at the Crucible, which is a wonderful space. I taught a class in building robots in the summer of 2002.