Sound engineers often use audio processing effects called compression and limiting. Compression makes the quietest sounds in a recording louder, and the louder ones quieter, so that the overall volume is more consistent. Limiting prevents very loud sounds from clipping—it stops them from oversaturating, distorting, or cutting out because the recording or playback mechanism can't handle them.
Radio stations use those effects heavily, all the time, usually in an effort to make themselves sound louder, so that you can find them when reception isn't so good, or so they'll stand out from others. You really notice it when you switch to a station that doesn't compress its broadcasts very much (many classical and jazz stations don't, nor does the Canadian Broadcasting Corporation's Radio Two on FM). You can hear the dynamics of music again, with quiet parts and loud parts, and "space" in the sound.
Use of compression and limiting is widespread in audio recording too, especially in popular music, and it has only become more so over time. Check out this Wired article about changing waveforms in popular recordings. You wouldn't, at first, think that Celine Dion's "I Drove All Night" would be recorded to sound louder than AC/DC's classic 1980 hard rock album Back in Black, but it is.
What that means is that many recent rock, hip-hop, and pop recordings provide less clarity, subtlety, and power than older ones, because they've squashed the life out of the sound. They're also more fatiguing to listen to, because your ears never get a break.