I might be teaching you to suck eggs here. If so, please forgive me...
Volume from the headphones will be governed by lots of factors, but the ones that you can have some control over are:
* Headphone type: Open-back headphones are the type that let sound leak out and also let outside sound leak in. Closed-back headphones do a better job of isolating the listener from environmental noise. The rub is the cost and closed back 'phones tend to be a little more difficult to drive.
* Headphone impedance: Without getting in to too much of a technical debate, cheaper headphones tend to be low impedance (Ohms Ω
. This is good for volume; they go louder off less power. The caveat is that the sound quality isn't as good (admittedly less of an issue when used with budget sources) and, in relative terms, they draw a lot of current. This becomes significant if driving more than one pair from a single device. Closed-back headphones are often higher impedance. They won't go as loud but you can hear them better because of the acoustic isolation.
* Sensitivity/efficiency: for 'phones this is measured in dB/mW. Even though budget headphones are low impedance they often have awful efficiency. They aren't very good at turning the power from the source in to sound at the ear. If possible, look for headphones with an efficiency of 95dB/mW and above. That's harder to do than say though since manufacturers rarely give complete specs on their cheaper products because they know the figures won't look good.
So, how does this all translate in practical terms....
Well, it's possible that the headphone you might have tried in the past didn't sound loud because the impedance was too high for the source or the sensitivity was poor or they did a bad job in isolating outside noise. Tackling those issues with a different headphone choice will help.
Second, if you plan to use a headphone amp, make sure it is rated to drive the impedance of the headphones you have chosen. A few pounds extra spent on an amp that will handle headphones in say the 16-100Ω range is a better investment than one that goes to only 32Ω