Shelves are much easier to build - and dirt cheap to boot. No hinges, latches or pulls. (Granted, this is for garage/basement utility shelves.)
Plus, I would think, for a working type garage, they would be easier for grabbing what your looking for quickly.
Also, you'd be dealing with odd shapes and such, that might not fit behind the door.
I also have always thought that peg board with hook type things look really convienient for tools and such. No digging about in a drawer or box, just snag it off the wall and get back to work.