In OS X, go to System Preferences -> Sound
Then move the slider for "Output Volume" up to at least half way. Also, as mentioned earlier, check your volume settings on iTunes, or whatever music-playback app you are running. I highly doubt that this is a hardware problem.
Also, some headphones have a wired remote with volume control. Check the cord, and see if you have this type of remote. If so, make sure the volume is all the way up on the remote.