Yes, you can ask for the landlord's help in quieting the neighbor. Standard rental and lease agreements contain a clause entitled "Quiet Enjoyment." This clause gives tenants the right to occupy their apartments in peace and also imposes upon them the responsibility not to disturb their neighbors. It's the landlord's job to enforce both sides of this bargain.
If the neighbor's stereo is keeping you up every night, the tenant is probably violating the rental agreement and could be evicted. Especially if several neighbors complain, the landlord will probably order the tenant to comply with the lease or face eviction.