Windows: If you find yourself regularly adjusting the volume on your computer, you'll want to normalise the sound volume. Although some apps (such as VLC) have normalisation options and you can normalise the audio in your media collection with software and hardware solutions, Windows has a built-in setting that could also help.
Open up Sound in the Control Panel (under "Hardware and Sound"). Then highlight your speakers or headphones, click Properties, and select the Enhancements tab. Check "Loudness Equalization" and hit Apply to turn this on. If you have any audio playing at the time, you'll need to restart the application to see the changes.
As the description of this property notes, Loudness Equalization "reduces perceived volume differences" — making quiet sounds easier to hear and louder ones less deafening. It's useful especially if you have your volume set to maximum but Windows sounds are still too low.
SaveDelete has a few other suggestions for boosting volume in specific music players and on tablets and smartphones if you want to tweak in those areas.