I am going to attempt to create my own door assembly (frame, door, etc) for my soundproofing project and am looking for very dense, heavy wood. The first wood that comes to mind is oak, but I suspect that will be incredibly expensive. However, if that's really the only wood that would do the job then I guess I'd be willing to pay for it. I prefer types of wood that are typically readily available through retailers like Lowe's, Home Depot, and the like.
Note that is a separate inquiry from door sweeps and other add-ons. This is solely about the door and frame itself.
Best Answer
I would do a hollow door like @Tester101 suggested, but instead of using Dynamat (which is expensive) I would use foam.
In high school, they would collect egg cartons so they could sound proof the audio rooms. You could use egg cartons as well or a cellular foam board.
Sound is produced by vibration. Thats why sub woofers aren't directional.
Using foam, the cellular structure breaks up the sound waves.
Wikipedia actually has a good write up on this.
Wikipedia Soundproofing
So, on the cheap - 1/8 inch or 1/4 inch plywood to make the door and inside, fill it with a not so dense (ie: a foam where you can see the cells) foam board.