It's happened to everyone. Having adjusted the volume accordingly, you're listening to a tune on your MP3 player. But then the next song is somehow quieter, so you jack up the volume. Then the song after that comes on and nearly blasts your brain into mush. I hate that.
Most MP3 players and their attendant software (like iTunes) is supposed to equalize the volume of all music files so you don't have this problem, but it doesn't always work. That's why MP3Gain might be worth checking out.
The free program analyzes your music files and helps you normalize the volume across all of them. Note that the program is currently Windows only. Read more at Red Ferret.