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MD81544 has just released his GP2X Master Volume Control utility. Source is available, and he has scripts to go with it to operate with autorun too. Very handy for setting the volume when launching things that don't provide any control of their own, or just to have a default that's more to your liking. Some of the text from his web page describing it is below:
GP2X Master Volume Control
It seemed to me that firmware 2.1.1 for the GP2X caused my unit to get extremely loud... when the green "loading firmware" screen comes on, there is a noticeable background hiss in the headphones. Caused, I assume, by the master volume of the device being set to max (or close to it)
You can run the executable from the gp2xmenu GUI, and, by default it will set the volume to a reasonable level.