Not sure of this will work... but in iTunes, go to 'Get Info' on the track you wanna play on your iPhone and then change the Volume adjustment to +100%. This should adjust the volume of playback on your device too...
General playback of internet content for example will still be lame and quiet. Another reason to get a samsung.... maybe.
This thread is almost a year old, but just in case I thought I'd remind people that some apps keep track of your volume setting inside of the app...so if you have your phone turned up but an app still seems quiet, make sure you try turning it up while you're inside the app.