(The following is mostly copied from elsewhere)
Obviously not everything, but when you play music loud, it is easier to pick out all the details, and hearing all the different parts of a song usually means that the music sounds better. Plus loud music relieves stress, when you listen to (loud) music, endorphins are released. Also loud music works like a stimulant. You can literally get pumped up by loud music, as music can lead to an increased body temperature and heart rate.
It can do, there is a direct connection between your inner ear and the pleasure centres in the brain.