What material can I use to dampen sounds in my room?

I play drums and guitar in my room and it tends to get really loud. I'm not looking to completely sound proof it just make it a little quitter. I was thinking about using that black foamy stuff but I don't know how well that would work. I'd like to try and be affordable about it as well, the walls of my room are roughly 650 sq. ft. total. Any ideas on what might work?