Listening loud produces a physical experience you feel through your entire body -- it's something that more sensible volume can never match. Loud is also more "correct": even unamplified live music can get really loud, so listening to recorded music at a more moderate volume forfeits too much of the energy of the real thing.
I was thinking about this Monday night at Oswalds Mill Audio's loft here in Brooklyn, NY, listening to a pair of its 7-foot-tall (2.1-meter) Imperia horn speakers. The record happened to be New Order's "The Peel Sessions," and it was sounding pretty great. I walked over to the preamp and turned up the volume a bit and it sounded better, a little more like being at a rock concert. A few minutes later I turned the volume up again -- a lot more -- so it was really loud, much louder than I have ever listened to music at home. I wish I had used a sound pressure meter to find out exactly how loud it was, but I'd guess it was 110 or 115 dB, not as loud as many live rock concerts, but plenty loud. The big Imperias didn't sound like they were working all that hard; I'm sure they could have played a lot louder.
The downside to loud listening is -- even with a lot of very expensive high-end speakers -- the sound can be harsh and grating because the speakers' distortion shoots way up when they're played really loud. That's very fatiguing, but that wasn't happening over the Imperia horn speakers. They can play insanely loud with ease, so distortion remains low. That's true for other horn speakers, and Klipsch makes some very affordable horns, such as the I reviewed two years ago. Those speakers can't play as loud as the Imperias, but still very loud indeed.
As for headphones, high-volume listening can't match the impact you get from a great speaker system. I'm definitely not recommending sustained loud listening for hours at a time -- the long-term effects of loud sound from Jet Skis, snowmobiles, sports events, bars, lawn mowers or music can result in significant hearing loss. But occasional short-term, high-volume music blasts can be exhilarating -- they are for me.