Lay a concrete floor down in your bedroom. Its mass and density isolate sound well.
Install floating or second walls in front of the first set to trap sound inside the room. Apply soundproofing compound between the walls to trap sound further. Follow manufacturer directions.
Install a false, floating ceiling. The dead space between it and the actual ceiling trap sound. Screw wooden strips to the ceiling about 2 feet apart, and screw sheet rock on. Apply soundproofing compound to the layer per manufacturer directions, then screw another layer of sheet rock on.
Seal windows and doors to trap sound in. Install a door flap or automatic door bottom at the threshold, then line each window frame with weather sealant.
Fill in cracks and holes with caulk. The less hollow your bedroom construction is, the better.
Lay one or more layers of mass loaded vinyl across the floor, if you need to soundproof for low frequency sound, like a drum set or sub-woofer. This works especially well if you have tile or wood floor, where you can't use concrete. Lay carpet atop the vinyl for further insulation.