Capt,
You raise a big topic of its own in a few concise questions.
Indeed some treatments work better than others. It depends on what your room needs(e.g. relief from echo, bass absorption, etc.) In most cases, covering a whole wall is not a good idea.
I'd suggest reading up on basics of room acoustics on either the rives.com or realtraps.com websites. With a cheap radio shack sound meter and a Stereophile test CD you can get a useful(though not perfect) read that will help point you in the right direction; that is you'll have a better idea what ails your room. Then you can post more specific questions or read up here on how others have attacked their room issues.
FWIW, I've spent much effort recently treating a very challenging room, and the results exceeded most component upgrades. It's usually worth the trouble. Cheers,
Spencer