What app are you useing? I noticed this when I use Last FM. All of their songs are streamed (or the app plays it) at a low volume. Use the VU meter live wallpaper while playing a song and you will see what I mean. I gotta have the EVO volume maxed and in my car for loud volume, I gotta crank it all the way up to around 80% volume. Which is insane.... (My car has a 210w 7 speaker Pioneer audio system) Useing my Sansa View mp3 player with volume maxed, I can never push my system above maybe 45% otherwise I risk going deaf.
However, If I'm playing music with perhaps Slacker or the local mp3 audio app, the volume is much better. Again, use the VU meter live wallpaper with the different programs and see what I mean. With those, I don't have to crank my system up nearly as high.
The EVO's volume output seems fairly comparable to my Sansa View mp3 player and my wifes ipod nano. But only if the app allows the songs to play at full volume levels. Last FM certainly does not...