If I may correct you a little, Kurt: At the midi controller, you can only control something that's called
velocity which is not the same as volume. With some instruments, it changes the sound, not how loud it is. For a "normal" sound of the instrument, the velocity should be in the mid-range, otherwise your piano will sound like someone's beating the sh** out of it, even at low volume. This can also be controlled by the slider in the GB prefs, as I stated before.
The other thing is to adjust the volume of your software instrument's output. Some instruments, like basses, in GB tend to be soft in volume, so Kurt's recipe on cranking it up should help.