If it is a rare occassion .. I would tolerate it, because I'm sure my guests are a little noisy on rare occassion too. If it happens often, THEN I might have a problem with it, and would politely ask them to tone it down. I know my neighbours, and they know me, and my family .. I don't think it would be a problem.
Depends what time of the day it is, how often and what type of noise. A fan is a good white noise machine as any. You can buy soundproofing for your walls aswell. In America I think it is the EPA which deals with it. In UK it is your local council "Environmental Health."
Phone the police.
Being louder is the best option for me because I'm a huge fan of music, but keep in mind that the police can be called on you. But I can tell you that I live in a house, so I usually download live performances of my favourite artists from Youtube with Tubidy and listen on full volume, and my neighbours are okay with that, I asked for their permission first. But if I were you, I'd talk to the neighbours first.