In my newly built house, I asked for the master bedroom wall to be soundproofed with rockwool and its inner door to be solid wood. It works incredibly well, and it makes the house appear bigger: If someone's watching TV in the living room, I can just go to the master bedroom and shut the door and there's incredible silence.
I did this because as a teenager I always struggled with privacy in my parent's house. Even though the house wasn't small, it was hard to have a conversation with my girlfriend without it being heard in the nearby rooms (my parents rarely watched TV, so there was no sound to mask my voice).
If I ever get the chance to build another house, I will specify rockwool insulation in all inner walls and all-around solid doors. In that way, I can have a small house with great privacy. Or I can study while someone else is watching a movie with surround sound in the adjacent room with no problem.