How to make my room sound proof
If you're not renting (ie, you own your room or whoever you're living with doesn't mind if you make modifications to the structure), consider the following:


Type X drywall:  While mainly designed for fire rating, it's very heavy, very dense, and helps in blocking sound.
QuietRock:  Designed for soundproofing, but very expensive.  Consists of a viscoelastic polymer sandwiched between two layers of gypsum (or gypsum and cement board).  There are different grades of QuietRock.
RSI clips:  Resilient sound insulation clips help decouple your drywall from the studs.  Genie Clips are very popular.  You will need metal furring channels (aka hat channels) for the installation.
Green Glue:  A soundproofing compound that basically lets you make your own homegrown version of QuietRock.  Hang a layer of drywall, use a 28-oz caulking gun to dispense the GG onto the back of the second layer, and then put the second layer up over the first.  Stagger the sheets.  Green Glue's website will give you instructions on application.
Acoustical putty pads:  If you're super serious about soundproofing, apply these putty pads around the back of all your switch/outlet gang boxes.  If you don't, all your soundproofing efforts will be in vain as sound will just travel through the hole in your soundproof wall and out the back of the gang box.   QuietPutty is one such product, though there are more.  See this question of mine where I show how I ended up soundproofing my outlets after the wall was installed.
Acoustical caulk:  Use this in the space between your door frame and the studs.  You may soundproof your walls, but what's the point when sound will just sneak through that gap?
I'll also add that your soundproofing endeavors will be futile if you don't actually soundproof the door itself.  Hollow core doors are useless.  Get a solid core door with a nice, dense frame.  You will also need some heavy duty hardware like cam hinges, perimeter seals, and door sweeps.  If you're crazy into soundproofing, you can even try making your own door.
Roxul SAFE'n'Sound:  Again, if you're serious and want to really soundproof your room and you plan on removing your drywall, replace all your regular insulation bats with Roxul.
Also, if you have someone below you or above you or you're over crawlspace or have an attic above you and there's someone in the next room, you would need to soundproof the ceiling and floor.  Otherwise, if you're on a slab, you won't need to soundproof the floor.  If you have no attic above you, your need to soundproof the ceiling is greatly reduced.


You can also combine many of those options.  For example, you could go all out and soundproof a wall with Roxul insulation, RSI clips, and a double layer of type X dryall with Green Glue in between.  I did that with my room and the results have been fantastic.

Edit:  Well, I didn't realize this question was three years old.  It showed up on the first page, so I answered!