I want the volume to change when I plug in headphones, because my netbook's speakers are really quiet but the earbuds I have are really loud when I plug them in. I'm running Ubuntu Lucid Netbook Edition on an Asus eeePC 1005HA, if that's important.
I think this is why headphones is often its own separate volume control from Front. As far as I know, the only way to make speakers and headphones use different volume levels is to simply set the volume controls that way. Have a look at the full mixer instead of just the single slider shown in the notification area. I think you can reach a mixer from that slider, but if not: