It's all about physical isolation, and mass.
1. Stagger your studs on shared walls. This will mean that the sound hitting his wall and your wall won't pass through the shared studs.
2. Sound isolating drywall. It's not that much more expensive than regular drywall. Its heavier and has a membrane sandwiched in between: http://www.quietrock.com/
3. Hat Channels and clips. The clips get screwed to the studs and the hat channel sits on the clips. The channel sits on the clips, and the drywall is screwed to the channel. This means sounds hitting the wall will not transfer to the studs (and vice versa)
4. Wrap your electrical boxes for outlets and switches with quiet putty, seal up and joits where air can move with acoustic sealant. Anyplace air can move, sound will leak through.
5. Fill the walls with insulation. The more mass you can cram in there, and the more airflow you can stop the better.. regular R-21 will work.
6. Double up your flooring. Put acoustic sealant between the layers. Get a mass loaded under rug foam pad.
I did this all to my TV room, cost about $600. I can crank it up in there, and it can't be heard in the rest of the house.. Its on the second floor above the kids room