As with Left/Right across multi-line equation you are attempting to split a \left...\right pair across a multi-line equation. Since you don't have variable-sized content across the lines, a simple right....\left. pair across the break works.
Below I've highlighted the structure to show corresponding \left...\right pairs.

\documentclass{article}
\usepackage{amsmath}% http://ctan.org/pkg/amsmath
\begin{document}
\begin{align*}
L(A) &= c_{d} \int_0^\infty r^{d-1}
\left(
\frac{1}{2} \dot{A}^{2} \exp
\left(
-\frac{2 r^{2}}{R^{2}}
\right)
-\frac{1}{2}A^{2}
\left(
\frac{4r^{2}}{R^{4}}
\right)
\exp
\left(
-\frac{2 r^{2}}{R^{2}}
\right)
\right. \\
& \qquad
\left.
- A^{2} \exp
\left(
-\frac{2 r^{2}}{R^{2}}
\right)
+ A^{3} \exp
\left(
-\frac{3 r^{2}}{R^{2}}
\right)
- \frac{1}{4} A^{4} \exp
\left(
-\frac{4 r^{2}}{R^{2}}
\right)
\right) \mathrm{d}r,
\end{align*}
\end{document}
Another option would be to avoid \left...\right pairs and use \big-like structures:

\documentclass{article}
\usepackage{amsmath}% http://ctan.org/pkg/amsmath
\begin{document}
\begin{align*}
L(A) &= c_{d} \int_0^\infty r^{d-1}
\biggl(
\frac{1}{2} \dot{A}^{2} \exp
\biggl(
-\frac{2 r^{2}}{R^{2}}
\biggr)
-\frac{1}{2}A^{2}
\biggl(
\frac{4r^{2}}{R^{4}}
\biggr)
\exp
\biggl(
-\frac{2 r^{2}}{R^{2}}
\biggr)
\\
& \qquad
- A^{2} \exp
\biggl(
-\frac{2 r^{2}}{R^{2}}
\biggr)
+ A^{3} \exp
\biggl(
-\frac{3 r^{2}}{R^{2}}
\biggr)
- \frac{1}{4} A^{4} \exp
\biggl(
-\frac{4 r^{2}}{R^{2}}
\biggr)
\biggr) \mathrm{d}r,
\end{align*}
\end{document}
The advantage from such usage is that it doesn't struggle with multi-line breaking if you have have a \big-left on one line and a \big-right on another.
splita\left...\rightpair across multiple lines, which is not possible without some trickery. See Left/Right across multiline equation. – Werner Sep 01 '13 at 06:29