Making sure that all cracks and crevices that lead to the outside are sealed airtight is the first step. Foam weatherstripping around any doors is a good idea. Also, if there is a window in your garage, block it off with at least 3/4" MDF or plywood, making sure to use the weatherstripping as a gasket. Second, go to a used carpet place and get yourself a piece of carpet big enough to hang in front of the garage door (the one that the cars drive in to). This will help a little with the sound that escapes from the cracks along the side of the garage door. Next, buy some used carpet that you can roll out over the floor, and install some bass traps (you can find plans elsewhere on this site) in the corners.
The idea is, you want to seal any openings that would let sound leak out of the garage, and you want the inside of the garage to sound good so that you don't have to turn everything up to "11" to hear yourselves.
How do I know this? I did all of these things, and you couldn't hear anything past the sidewalk in front of my house.
Is your garage of double wall construction? If not, putting two layers of 3/4" sheetrock (gyp board) is essential.
You may end up spending a couple of hundred dollars doing all of this, but your neighbors (and the cops) will thank you for it!
If there is a window, you may want to put in a modest window A/C unit in there. It doesn't have to be a unit so powerful that you can make snowcones, just one that will keep everyone comfortable (around 8000 BtuH for a 20 x 20 garage). Make sure to cut out a hole in the plywood or MDF board that is sealing the window.
Hope this helps. Aloha!