Windows are usually the weakest sonic link in exterior walls, which makes them a good place to stop outside noise from getting inside. Installing new units also provides the opportunity to properly seal and insulate the wall cavity surrounding the window frame. Adding storm doors or upgrading exterior doors with insulated-steel or fiberglass models brings similar though smaller benefits. Finally, if you're residing, adding extra insulation, such as an extra layer of foam, and sealing the house well with housewrap and tape will significantly reduce sound transmission from the outdoors. If your sound problems originate indoors, concentrate on interior partitions.
Walls are usually the weak point.
A typical uncaulked interior wall has an STC of 30, a figure compromised by any door or other opening in it. Depending on what's going on in the next room, this rating might be enough. The information in these tables will give you a pretty good idea of how substantial a partition you need to reduce a given noise to an acceptable level. Double the drywall on both sides and you reach a 39 STC, nearly halving again the noise level transmitted by an uncaulked standard wall. These are fairly simple steps, as adding a layer of drywall is relatively fast, cheap and easy.