1. Call the home or go personally to politely ask them to turn down the volume, if you feel your safety would not be at risk. I explain that I want to give them the opportunity to take care of the problem without having to call the sheriff or police.
2. If that fails, call the sheriff or local police and find out what the noise ordinances are for the location. Most locales have specific measurable noise levels that have to be adhered to with restrictions on the time of day or night and you'd have to be able to prove that the noise exceeds the allowable decibels. Yes, I actually purchased a sound level meter from Radio Shack! Usually, a visit from the local police or sheriff's deputy is enough to get the volume turned down or off.
However, if this is a persistent problem, and if the problem property is rented, definitely tell the landlord and ask him/her to solve the problem. Get your other neighbors to call the landlord too. You may have to call the landlord a number of times and demonstrate that the problem is persistent before the landlord takes action.
If the property is not rented and the owners live there, you have a different type of problem. They can't be evicted. However they can be cited by the police.
If on the other hand, it is a local bar and you live close to it, sorry but you have to expect a certain amount of noise up to and a bit after closing time. In this case, consider moving if you can.
If you feel safe, approach the offenders when they are sober and tell them in a calm manner how upsetting it was, and ask what they will do in the future to not have a repetition. By no means do this if you have questions about your safety.
Best of luck and stay safe out there.