I've got mplayer (command line) installed on my pi, and it will adjust the volume levels, but unfortunately the adjustments are not working properly. The sound seems to be either too low, or way too loud and distorted.
In the gui (after typing startx at the command line), you should have a volume control way over on the right bottom corner of the screen. It wasn't there for me at first, and then I learned that you had to run a little command after you log in on the command line in order to make it work:
sudo modprobe snd_bcm2835
This should get it running. You may want to put this into a startup file or some other shell script to make it easier. That way, you won't have as much to type. Hope that helps.