Yeah this is a common thing so don't worry. I would say that it would be best to talk to them first, just because if you go and make a complaint they're likely to be weird with you from then on. I do however think though that you have to go to uni with a mind-set of having to deal with stuff like that. You could look for some solutions to it too, ear plugs, white noise machines etc etc. However if they are taking the **** every single night then you're well within your right to say something.