Same story here. I also had NWZ-S639F but bought A866 because of more space and better interface.. I was really disappointed with the sound quality.
Compared to the previous player this one had even lower volume and the worst thing is if you you listen to a song with normal dynamics it will squash those loud bits (and that's not fair because that's not how the song was presented to the listener). I'm using expensive in-ear headphones from "Shure" and surprised that the EU volume cap is getting worse for each year.. I'm not deaf and I don't want to spend even more money on amplifiers.. It's just that not everybody listens to latest highly compressed commercial music. I'm not listening with the volume set on MAX, but if you have to set it on 25-30 (30 is the highest) the sound quality will get really bad and unlistenable (not because of high volume but compression). I also feel that the EQ settings were much better on my older player and the difference on the new one is if you turn up the BASS, the rest will get lower - so the overall sound won't be too loud :-S
I have all the extra settings turned off..
I doubt that SONY will fix this in a firmware update, so my advice would be to wait with a purchase..