say I wanted to build a little room inside of my garage, heat and cool this room, and I would want to put a 36in door on this room, would you recommend an exterior door or do they make insulated internal doors?
I'd recommend scouring Craigslist and see what pops up in the "materials" section.
I don't know that they make insulated interior doors, but they do make solid-core interiors. Also though, you being in Tennessee means that the temperature difference between said room and the rest of your garage is NOT going to be huge.
If it was my project, I'd try to get a used interior pre-hung door. An exterior door will have a very different kind of threshold, plus they're more expensive.