There are two ventilation issues with the furnace: removal of carbon monoxide, and supply of oxygen for burning.
The carbon monoxide issue should already be taken care of. However, I would still buy a detector if you don't have one and keep it a little ways away from the furnace in the habitable space near your HT / pool area. This can save lives, it's worth $20 to $30.
If you do seal off the furnace area, you definately want to install a vent in the wall you build, or better yet a full lovered door. That or else you need to rig a way to get fresh air in.
The problem with sealing the room off and going with the louvered door or vent is you aren't going to cut out most of the noise. Maybe you will cut it in half if lucky. If you furnace is anything like mine, then even a 50% attenuation would still make it very noisy if you have an open HT nearby. So this will definately help, but you won't know if it will help enough to make you happy until you are all done.
The best solution is if you can pull in air from the outside for your supply. This is the best solution by far, since it wll then allow you to build a very tight room and block a good percentage of the sound. You could then build a very sound tight wall, as discussed to death in dozens (hundreds) of threads on this forum...use the search engine.
Drawing air from outside can be done very cheaply depending on your current setup. If you have an adjacent exterior wall above grade, it's a snap. Otherwise, check with your HVAC guy, it's possible that your furnace is compatible with double-walled vent/supply pipe, and the same pipe run for exhaust could be replaced with double-wall pipe which will vent the exhause air out the inner pipe, and pull in source air through the outer pipe. This also has the added benefit of leading to a cool pipe that is not hot to the touch. If your current pipe is not ovesized, then he may have to enlarge your openings slightly to do this, but it's easier than running a whole new supply pipe. Even if your furnace does not directly support this, it can most often be retrofitted to work with it, although it won't be quite as cheap of a solution in this case.
So, if you can, get a supply of air into the furnace area in, and then seal it up tight as a drum.
Rhino