
If you stick a needle through the speaker holes on the bottom left side of your iPhone (not the right side, that's the microphone), you will eventually poke a hole in the piece of plastic which keeps dust and dirt particles out of your phone. Perforating the plastic will make your iPhone substantially louder. A forum thread at ModMyiPhone has more details and firsthand accounts of the process. It appears there is not much chance of damaging your iPhone doing this, but don't take my word on that.
Hopefully, Apple will figure out a way to fix the speaker loudness in the next version of the phone, as most people complain about how quiet the phone is. It seems the phone is capable of producing a good amount of sound, but poor design is muffling it.