The trouble with rehearsal rooms is that the first thing you see when you walk in is everything you need to play Hyde Park ... a 16-channel PA with a pair of powered 1x15 cabs and four 1x12 foldback monitors, two Marshall stacks for the guitarists, and (usually) an Ashdown or Behringer rig for the bass player.
The room is slightly larger than your bedroom, but the drummer thinks he's in the stairwell at Headley Grange, the lead guitarist is trying to get both feet on the monitor at the same time, and the vocals are shrieking feedback in the PA's desperate efforts to be heard over the cacophony.
All the bands I play in rehearse in my garage. I have more PA kit than you could shake a stick at, but it all stays in nice, neat boxes on the shelves. All vocals are UNamplified, which automatically limits overall volume to whatever the singer's voice can be heard over.
We are too loud (probably) to play in the sitting room of a semi or a flat, but for a garage this volume level is usually very acceptable.
If that's not acceptable to your neighbours, then for a grand or so you can put in sufficient sound-proofing (or at least damping) to make any garage or shed usable. On that sort of money, and assuming that you rehearse just once a week, payback for the sound insulation would be about six months.