First a quick question. Are you using a headphone adapter cable?
As I understand it, the iPod Shuffle normally uses specific headphones with built-in volume buttons. In order to use "normal" headphones or to connect to an AUX input, you need an adapter cable. I use something like this:
After you get that corrected, if you find you still need more volume, you'll need some sort of pre-amp. Google "portable headphone amp" or "Sound Shocker Pro" and you'll find lots of info.
Google
Sound Shocker Pro