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Higher signal to noise ratio. Dr. Barry Blesser suggests that "raising the loudness of music, like a double shot of whisky, elevates the intensity of the experience". Listeners undergo significant, measurable changes in mind-body states and Blesser reckons that "loud music is simply a stronger stimulant than soft music".

Blesser - The Seductive (Yet Destructive) Appeal of Loud Music: http://www.blesser.net/downloads/eContact%20Loud%20Music.pdf

Psychoacoustic tricks such as compression and EQ allow us to increase perceived loudness without crossing the threshold of pain.

3, 4, and 6 in this article explain this psychoacoustic phenomena pretty well: http://getthatprosound.com/hacking-your-listeners-ears-9-psy...

And this article argues in depth, that the relationship between actual/perceived dynamic range is ultimately an artistic choice, yielding different feels. What people who complain about loudness are really objecting to is the improper use of these techniques: http://www.soundonsound.com/sos/sep11/articles/loudness.htm