i too am interested in this actually..... i have found a decent link:
http://soundproofing.org/infopages/Music_room.htm

it has tonnes of information and am just picking through it right now.
as for egg crates, they only dampen the sound within the room and not prevent sound from leaving the room. if you are going to build a separate wall, there are some tips and instructions on the above site.

definately do not use high-density materials though... .that only makes the sound travel better through the materials. for example, if someone is talking behind a door and you can't hear them, you press your ear up to the door to listen in.... you have to have a dead-air space for best results i believe..... still reading.....