Is louder better?

I think louder is better (depending on circumstances). If I'm cleaning my house, I don't need to hear J.S. Bach at tremendous levels.
If I'm wasted (a quarterly event) listening to LZ or Jimi, and feel like cranking it, I don't want the system to wimp out or fall apart.
This is how to tell if you got your money's worth.
All systems, MOL, sound good at moderate levels. You pay the big-bucks for something that sounds the same at whatever level you choose.
This is, to a large extent, dependent on room size. Blasting music in a small room can't help but trigger all kinds of foul resonances and reflections. My dream room is 30 X 50 X 12. Peace

Syntax, mastering92 is on the right track. Every recording has a volume it sounds "right" at. This depends on how it was mastered and the genre of music. 

Your ears change frequency response with volume. At lower volumes bass and treble disappear at high volume they can be overwhelming. 
Google Fletcher-Munson Curves. Loudness compensation is  way to beat this. It raises the treble and bass at low volume. 

I'll listen to rock at 95 dB once my ears have warmed up. If you try to listen to a string quartet at 95 dB it will cut your throat. I'll listen to that at 70 dB. I'm talking about peak volume. Many systems will not play at 95 dB effortlessly. They are clipping the peaks. IMHO there is never such a thing as too much headroom. Depending on your speaker's efficiency you need to make sure your amp can handle peaks of 10 times the power or about 10 dB over your loudest listening level in my case that would be105 dB.  My speakers have an efficiency rating of 89 dB/watt/meter. Every 3 dB requires twice the power. 92 dB = 2 watts. 95 dB = 4 watts. 98 dB = 8 watts. 105 dB = 38 watts. My amps stay pure class A up to 25 watts so, they are staying class A except for the very loudest peaks at my loudest listening level. There are speakers that have an efficiency rating of 110 dB/watt/meter just fine for those SET amps and speakers that have an efficiency rating of 82 dB/watt/meter requiring 132 watts. Rock concert level would require 250 watts. This is pretty basic. The various classes seem to handle power differently. I can usually identify a class A amp. They have an effortless character missing in the other classes. They also tend to sound more powerful than they actually are. The Krell KMA 100's I had sounded more powerful than every one else's 200 watt amps. Was it the class or the size of the power supply or something else I do not know and my experience is anecdotal. But for what ever it is worth I will never use anything but class A for my main amps. 

It all depends what music you are playing. I doubt that the Mantovani crowd would appreciate high level listening!

Yes, love it a bit on the loud side, band dependent of course....

    some music just does not have that “able to be played loud” thing.....


   as far as doing some room heating with my amps, some bands get a little more volume as the recording is good, and sounds great.          One straight off the top is Stevie wonders musiquarium 2cd set..
the sound and depth , the way it sounds , tight, great punchy fast deep bass, his voice, it is one of the best recordings put to cd,...for me, anyway. 

              

Is louder better?

Search "Equal Loudness Contour". We don’t hear everything equally well at all frequencies. Really low bass and really high treble have to be fairly loud to hear well. This is why the Loudness switch used to be so common. At low levels we have to turn up the bass, and the treble, to have them sound right.

Recording engineers know this. The levels they set are based on the music being played back at a certain level. That is one reason certain recordings sound "right" when played at a certain volume. Also part of why people say some gear has to be turned up loud to "bloom". A lot of it is equal loudness.

So yes louder is better, at least until you reach this point.

Above it things become a lot more complicated. Many systems will become congested or compressed at high volume. Many rooms will retain so much energy this adds to the feeling of overload, compression and congestion. At some point if it is loud enough your hearing acuity first becomes less, and the goes away altogether. If you experience ringing that is a sure sign it was too loud. Keep going, you can lose it altogether.

Loudness and volume are complicated. That is why back in the 1970’s engineers studying the problem did extensive real-world testing to determine the optimal amount of loud. Where you feel it in every cell of your body, yet still crystal clear and just below the point of damage. This became the industry standard, which like so many things learned at great cost has been forgotten and must continually be relearned. It is called Supertramp Loud. That’s what you want. Just be sure to use your Crime of the Century reference LP.