finally, a topic i know something about! :lol:
Rockwool is quite good. if you can get away with it, put up a framework of 4x2s to carry chipboard panelling, with the Rockwool between the wall and the chipboard. it'll reduce floorspace, but it's an effective soundproofing measure. lining the walls with carpet can also help a little, but that's mainly used for cutting down reverberations inside.