This is a problem near and dear to me, sorry for wall of text.
Absolutely will and have said something.
I've been on both ends of accidentally being too loud for neighbors (apartment in college, very thin floors), as well as having a neighbor above me play loud music/movies at night. The former I'm happy they said something to me as I wasn't really aware it was so loud outside my place. The latter I ended up dealing with at the time as it was pretty infrequent and they weren't there for very long, and I wasn't much of a confrontational person.
Ever since both of these, I've been very conscientious of what I'm listening to and how loud it is, because I know how much it bothered me and how much anxiety it can give a person who doesn't want to 'rock the boat' and end up making things worse. I don't want to compare the anxiety to having bed bugs because that's even worse, but the constant worrying and being upset can drive you bonkers.
A few years after living in my condo I got new neighbors, who had either a surround system or a soundbar/subwoofer setup that put out some pretty serious low hz. I don't have to tell people who live next door to these things how badly low frequency noise permeates and booms into the next abode even if they're at a 'low' listening volume (i.e. at times being able to clearly hear dialog etc. from what they were watching, never mind the actual bass hits).
I put up with it for a while, but it was eventually like clockwork almost every day (music) and night (tv/movies) to the point where I could easily identify what they were listening to (mostly alternative 90s, so it wasn't all bad
) over what I was doing.
It took a fair amount of back and forth at times, but I was very fortunate in having people who were understanding and ended up trying to keep it down (i.e. gave me cell # to let them know if anything was too loud at any point, etc.). So in my case it worked out for the better in talking to them.
I get that people shouldn't live like church mice and I don't expect silence all day (having people over and jamming out on the weekend, sure no problem), but I think everyone has a breaking point with noise disturbance and shouldn't have to put up with unreasonable (again, this is always relative) frequent issues.
I would also like to point out, there may be people who don't even realize how much they're affecting others around them (definitely me when I was in my apartment)...it can't hurt at least to check, you could very well have someone very unintentionally driving you nuts
.
Now I have my own house, I'm happy in my isolated cocoon and turn up the TV knowing I don't have a shared wall with someone next to me.