Dennis,
I am in the process of completing my basement workshop and have spent countless hours researching soundproofing.
I'll give you the short version of what I did, but if you want more information, please feel free to send me a pm.
I found the best bang for your buck to be a product called green glue. It is a viscoelastic caulk that is placed between 2 sheets of sheetrock. Here is their website:
http://www.greengluecompany.com/
You basically put up 1 layer of sheetrock, apply green glue and put up another layer of sheetrock, basically making a sandwich with this stuff in the middle. I also used exterior doors with weatherstripping for all my doors leading out of the workshop, including closets, mechanical room.
For the ceiling (not sure if this is an issue for you), I used isomax sound isolation clips on the joists, with hat channel supporting 2 5/8" sheets of sheetrock and green glue.
http://www.soundisolationcompany.com/sound-solutions/walls/clips/
I bought all my material from Jodie (spelling?) at sound isolation company because he was very knowledgeable, was willing to spend time on the phone with me even after my 999th question, and I like to support local companies. He also had very good pricing on his products.
This may sound like overkill, but since my shop is directly below the kitchen, I was willing to pay a little more to make sure I did not have issues with my soundproofing later.
If you read some of the technical papers on the green glue website, it will give you a good idea of what sort of STC rating you can expect with different scenarios like 2 sheets of sheetrock, building an interior wall, etc.
But the most important part is, of course, how does it work? The other day I fired up my dewalt planer for the first time in the new shop to plane some walnut for a neighbor. My wife was in the kitchen, directly above the shop, and later told me it sounded like someone was using a hairdryer in the bathroom with the door closed. It also passed the most important test which was it did not wake my 3 kids from their nap.
Gonzalo