If you want to soundproof a room, you don't have to spend thousands of dollars to have a contractor come in and put studio-quality materials on your walls, ceilings and floors. Thanks to the experiments done by other do-it-yourself soundproofers, you can make a room soundproof for, as of 2011, less than $1,500.
Particularly if the room you want to soundproof is not on the ground floor or if there's a basement beneath it, you'll want to line the floor to keep sound from going to the spaces below. There are several lines of high-density vinyl flooring. Each square foot can weigh as much as a pound. If you seal any cracks in the base with caulk and then put down this vinyl, you can put any surface on top and still have soundproofing. Floors are the most expensive part of a room to soundproof, so while you can use the vinyl for walls too, it will drive up your costs.
Walls and Ceiling: Green Glue
With Sheetrock cut to fit your walls, and with Green Glue behind it, you can soundproof your walls, because the Green Glue turns energy from sound into heat. You can buy a dozen tubes for, as of 2011, $175. Just glue some Sheetrock over it. You can also try this in your ceilings, but check to see if the joists and ceiling can hold all of that up.
Two Layers of Drywall
This is a cheap way to soundproof a room in new construction. On all of the studs, run a line of silicone all the way up and down and then add the Sheetrock. Pepper this layer with silicone beads and then put on a second layer. This will help your wall keep the sound out. Also, back this up by caulking any gaps in windows or doors.
Acoustic Spray Textures
These spray-on textures can help soundproof -- particularly ceilings, which are difficult to attach things to. Spraying on a rougher texture can keep the sound up and out of your earshot, or absorb it. You can also add spray texture to walls.