Rigid fiberglass or rockwool wrapped in loose weave fabric is most effective. It can be tough to find the stuff in some areas, I started a "Sticky" thread in the Studio Building forum, see if there's a listing for a supplier in your area.
Acoustic foam, placed judiciously, works too, but be aware that it doesn't do much for bass frequencies, so too much foam kills all the highs and leaves a very boomy sounding room.