How do the rest of you soundproof a room?

What kind of noise is it? Most sound gets in through gaps, so start there - weatherstrip round the door, a door sweep at the bottom, caulk round window frames. Cheap, and it makes a bigger difference than you'd expect. Foam panels only cut echo inside the room, they don't stop noise coming through the wall. Actually blocking it means adding mass: an extra layer of drywall, ideally with a damping compound between the sheets. Heavy curtains are the budget version for windows.