Hang heavy-weight blankets over the walls to absorb sound. The simplest way to do this is to buy heavy, blanket-type covers from an automotive shop and nail the blankets to the walls. If possible, make two layers and leave a bit of space between each layer. This is a basic soundproofing principle, as two sound-absorbing surfaces with air between them are more effective than ones that are touching.
Nail or glue commercial-grade carpet to the walls of your garage. Using commercial-grade carpet is a must, as residential carpet does not have the same fire rating as commercial carpet intended for use in buildings with many occupants. Commercial carpet is generally much cheaper and thicker than commercial carpet as well.
Place noise-reducing baffles between amplifiers and drum sets and any outside walls. You can purchase commercially built baffles from almost any music store that sells recording supplies. While this may be a fairly expensive solution, it does work quite well. However, if you have neighbors on all sides, it may prove more expensive than it is worth.
Hang an extra layer of drywall over your existing walls. While this may seem like an extreme measure, it can be cost-effective if you earn money playing live shows or recording music. Building a wall within a main wall is a common technique used by professional sound studios and rehearsal studios. If you make a living as a musician, consider hiring a contractor to put a proper air-lock between your walls, which is a space between walls where air cannot escape due to a fine seal. This air helps to reduce sound waves between walls.