First thing to do is find out if you can do anything yourself to help with the situation (say loud noises - consider using noise cancelling earphones or a white noise generator, for example).
Consider whether this is something that happens consistently or not - if it is a one-off, just let it go.
If this is persistent, you should start with discussing the issue with your colleague - no need to escalate to management quite yet.
Talk to them and explain, politely that their behaviour is distracting you from your work and ask if they can stop. If this is a reasonable thing to ask and they can see that their behaviour is disruptive, there shouldn't be much of an impact on your relationship. Of course, this depends on the person and situation - not everyone is reasonable and not all requests are reasonable. You will need to exercise your judgement.
Only if several such requests are ignored, go to management - you need to be able and explain exactly why the behaviour is impacting your work and then both offer and ask for suggestions on how to fix things.