Rule of thumb is usually... the heavier the material, the more soundproof it is. Nothing can beat a solid concrete wall (well, maybe solid 12" steel walls like the ones in bank safes would work better..hahaha)... take note of the term "solid". Any gaps, cracks, etc... will let sound leak in.
hardiflex, of the same thickness, works better than gypsum. GI sheets work well too... but you have to pad this REALLY well with acoustic foam inbetween to prevent it from resonating...unless you can get a hold of a 1/4" thick steel sheet to use as your doors and walls!
seal ALL gaps. your room has to be airtight. get rubber seals for the doors, use on both inner and outer frames...build double doors if budget and space permit.
How 'soundproof' do you want it to be? Is it to keep the sound out or sound in?