If you plan on putting any receptacles in the shed, it's going to have to have GFCI protection. The code does not require lighting circuits to be on GFCI, but it does not prohibit it, either.
One point of considering I didn't see brought up is the exception in NEC that allows a 20A GFCI-protected circuit to be buried as shallow as 12" without having to step up to RGC or a concrete cap. If that's all you need, and the GFCI outlet is easily accessible if you ever trip it, there's really no reason not to GFCI protect the entire feeder.
