There are three basic categories of DIY Acoustic Panels:

Bass Traps -  These are panels installed in the corners of a room to absorb low frequency bass usually from subwoofers.  The thicker the panel, the more effective the bass trap.

Acoustic Wall Panels - These are panels are installed on the walls of home theatre rooms, sound studios, control rooms, etc.  Acoustic wall panels main function is to absorb as much sound as possible (mainly mid to high frequencies).  The larger the number of panels in the room, the tighter and clearer the sound in the room.

Acoustic Clouds - These panels are installed floating from the ceiling, usually over a control desk or any area where reduced noise is desired within a room.