I used to listen music using iTunes, which allowed me to adjust the audio volume on a per-file basis:
Get Info --> Options --> Volume Adjustment (-100% <---> None <---> +100%)
That was pretty useful, since I have many files with different "default" volumes – making some play too loudly and others too softly for the same global volume adjustment. I think that adjustment was specific to iTunes (i.e. not saved as part of the file metadata), since the same file played elsewhere was not affected by this setting.
Now I dropped iTunes and I'm using VLC, and I'm wondering whether a similar funcionality can be achieved (either natively – which I believe is not currently possible – or through extensions). I tried the volume normalizer and compressor features (though I'm a total noob at the subject), and while I had some success on the same file, when it changed files the discrepancy was back.