^ What I tend to do is turn my volume wheel down before plugging my headphones in. It hasn't yet let me down, and it's my own fault if I forget to do so first - it's exactly the same as back in the days long before these regulations, back when personal stereo cassette players roamed the Earth.

(I actually have one here that can go an awful lot louder than the Pandora can long before the player is even at its maximum volume. I use it for making MP3 recordings from old tapes that I pick up for ridiculously low prices at car boot sales and the like.)
That said, I do agree that it would be a nice feature. My MacBook does this - when you plug in headphones for the first time, it will reduce the volume. Moreover, if you adjust the volume whilst the headphones are plugged in, in the future it will remember what volume you last used and automatically set that for you the next time you plug your headphones in (sorry to the "100% of everything Apple does is bad!" types out there, but this works very well indeed, and is enormously convenient, so it's worth writing about

). When you remove the headphones again, it goes back to how it was before. Of course, I don't know whether it's feasible to do something in the vein this particular implementation on the Pandora or not...