Hello, I need to run electricity to my 40 x 60 foot shop that will have lights, fan refrigerator etc... a 220 air compressor and 2-220 outlets for welding tools etc. It will only be me in my shop at one time but will be coming from my home panel @ 250 feet. What type of wire should I run? Thank you in advance.

You need to determine the load (amperage) that the shop will need. Trying to figure the size of the cable from your home to the secondary panel at the shop is impossible with the information you have given us.

Is the shop detached from your main residence? If it is, then you need to set up a separate grounding system.

Why not get two or three estimates? Let the electricians tell you what you need...
If you think you can do this yourself, what size service do you have available? Is this your residence? Your garage so to speak?
The more you tell us the more accurate the advice...