What's happened with the mastering of a lot of music is they are driving up the amplification across the entire track. This is "Master of Puppets" from the S&M Disc which has to be the "loudest" CD I have heard:
Huge difference in the dynamics, to accomplish this they have to compress the peaks. You may not notice this unless yu're doing some side by side comparisons but when you compress the peaks what happens is you lose all the nuance and dynamics of the music, the music becomes flat sounding and even distorted. On the other hand Grunge and those genres actually use this to their advantage and it helps produce the sound they are looking for. Probably the best example of how this effects the music is the difference between the CD version of "Death Magnetic" and the one on Guitar Hero:
It wasn't always like this, here is an example of the original CD compared to the remastered CD of Dire Straits "Money for Nothing" which is often used by audiophiles as a benchmark because it's a very dynamic song
This is the major reason why the CD sucks compared to vinyl. That said there is limitations to CD format and it is not the equal of vinyl. CD is 44kHz/16 bit, the 44kHz is the sample rate, it produces a different sound at the rate of 44K per second. The bits determine how accurately it can reproduce those sounds, in this case 16 bit equates to about 64K different sounds.
DVD audio and SACD are far superior to CD. Note that's DVD Audio and not audio on a DVD video disc. The DVD Audio format is just like a CD, it's all audio. DVD audio can be as high as 192kHz/24 bit. That is sampled at rate of 192K times each second and bits are exponential, 24 bit audio can accurately produce nearly 17 million sounds. When you consider how accurately a CD can produce sound what do you thing a format that is 260 times as accurate at 4 times the sample rate can do? These formats have never caught on because of the popularity of the CD that was "good enough"
The bit explanation here is very basic, there is an article here that covers it better: http://en.wikipedia.org/wiki/Audio_bit_depth
I can't finish this post without mentioning compressed formats like MP3, this is really a whole other topic in itself. There is no consideration for file size in CD and DVD Audio, it's a set rate and is really large files. MP3 and other compressed formats use techniques to get rid of data they don't need and they kind of average things out to produce really small files compared to uncompressed formats like CD. It's not quite the same as the comparisons between CD and DVD Audio.
The irony of all this is we have exchanged quality for convenience. CD is "good enough" but downloads are crap especially if they are really low bitrate downloads.
One final thing to note, if you're listening to music on your Ipod or some crap stereo you can ignore all this.
