Fear of volume control

I had the same experience the other day. It didn't just sound better because it was louder -- a familiar phenomenon. It evened out the frequencies -- more balance, more "biff", more soundstage. There are those who talk of less, and to them all I can say is, try "more." ;-)

What I been saying. It is not your imagination. Search Fletcher-Munson Equal Loudness Contours. We like to talk about our ears as if they are microphones, and hearing as if it is something that registers on a meter. Not even close. What those curves are showing is graphical proof that we hear low and high frequencies very differently, and this changes with volume.  

Recording engineers know this. If they were to mix a recording at a low volume level they would have to crank the bass and treble, essentially use a Loudness tone control, to make it sound right. Then if you play it loud at home there will be way too much bass.  

They know sometimes the music will be background and played at different volume levels by different people at different times. They cannot mix for all these different volume levels. What to do?

They know the low volume listening tends to be casual background, while the people really seriously into it are gonna play it louder and do nothing but listen. That is the one who will notice. So they mix for that listener. 

What you just did was finally get into the volume zone that recording was meant to be played at. If you listen closely you will find they all do this. Some records really only sound right when played real loud. Because that is how it was meant to be.

See Jim Smith’s excellent book on Getting better Sound - he covers this topic and much more. 
He is avid audiophile, music lover, recording engineer. Beware he is a listen and measure guy and experienced.