I got the same problem with a sony special high quality (you know the one which go deep in your ear, to avoid outside noise). I used this headphone with my pda to listen to mp3 without any problems, but each time I use it with my TR, the sound was too low.
So I finally, get it refund (with some difficulties, because they said that the headphone was not in fault), and get another headphones, with the volume remote control on the cable (which I think mean it is an amplified one), and it’s ok now.
Julien.