Using my sansa clip with a Sennheiser PMX 680 headphone I noticed the volume was pretty low on max volume.
The reason was I set the region to Europe. Too get more volume out of it you have to reset it to region "Rest of the World":
1.Turn on your Sansa Clip
2.Make a note of any settings you would like to keep (we're going to reset them in a minute)
3.Select 'Settings' from the main menu
4.Select 'Reset All'
6.Select your language of choice (English for me)
7.Select 'Rest of World' as your region
◦Scroll through the settings menu to 'Volume'
9.Set the volume as you normally would - you should have lots more oomph now