Hmm. A more cynical explanation is that they all want to have the loudest CDs in the jukebox. In noisy public environments (pubs, parties, etc.) the volume of whatevers playing music is likely to be set according to the loudest tracks that are played. As a result anything quiet become hard to hear over the background noise of folk chatting. So you end up with a sort of prisoners dilemma scenario where it seems like you have no option but to master your CDs loud.

Similarly, adverts on TV are usually much louder than the shows they're interrupting to try and grab your attention and they all compete with each other for that attention. Very annoying.