I've run into both circumstances with neighbors -- those who were nice, and those who turned their music up when I let them know how well the sound carried.

On a practical note: research the noise ordinance laws in your city. Where I live, anytime after 10 pm, and before 6, there are restrictions on noise.

Technically, anytime when there are not noise restrictions, the person can be as loud as they want. So, I will personally wait until it is after 10 to knock on their door. Daytime hours I just try to be tolerant.

The one neighbor who turned his stereo up scared the crap out of me, so don't hesitate to call the police if you are at all concerned, and let them enforce the law.