Thinking about this in terms of acoustics might be helpful:
Longer wavelengths of sound can travel through denser material than shorter wavelengths.
When you're acoustically treating a room to make it quiet (so you hear the minimum amount of sound other than what's coming out of your speakers), you're doing two things: absorbing sound, and breaking up sound. Any rough surface breaks up sound better than any flat shiny surface of the same density, which is why it isn't correct to say egg foam won't do anything. Egg foam definitely breaks up sound waves better than a flat, hard wall, so by definition it does something. But egg foam isn't very dense, so the waves it breaks up are only in the very high frequencies. Absorption is much more noticeable, since a sound wave that gets broken up will still bounce around until it reaches your ears while an absorbed sound wave gets absorbed before it hits your ears.
The big heavy panels, being dense, will absorb a lot more of the audio spectrum's waves, in particular its middle and lower ranges that you're used to hearing in dance music. That's why the effect is so much more noticeable.
Your dorm walls might be brick, or they might be drywall over studs. (If they're something else besides those two, let me know.) If you can't tell which they are just by looking at them, knock on them in a few different places. If they're brick, a lot of your work is already done for you and just breaking up the sound hitting the walls will take you farther. If they're drywall, then you'll need something dense to absorb the sound.
