There's a difference between audio signal dynamics and musical dynamics. A reason a signal can be brickwalled at 0dBfs and still sound quiet might be because it doesn't contain musical dynamic cues. You have to trick people's ears into thinking things are loud even when they aren't.

Musical dynamics are not really just about loudness, they are really descriptions of what kind of energy to use when playing an instrument. For example, the word 'forte' actually means 'strong'. However, there are certain common characteristics in the sounds of instruments being played 'with strength' - and these effects can be emulated in a production to trick listeners into thinking the music has a degree of 'forcefulness' behind it. I think this is a much better goal than simply to try and make something 'loud'.

There are a few basic tools that people use. Saturation and compression are the most common and its worth thinking about why they work.

Saturation adds harmonic distortion to a sound. Sound in nature tends to be non-linear. Adding more 'force' to sound producing devices often either naturally raises the fundamental pitch of the sound itself and/or it creates a brighter timbre (adding harmonics). Our own voices do this and it gives us a very strong experiential basis of this correlation of force and pitch/timbre. I think we tend to instinctively recognise this effect in all sound and on a basic level, assign a certain intensity to sounds with a brighter timbre. So, for example, if you're trying to make a pure sine wave sound 'loud' you're probably going to have to add some harmonics to it. If you want a kick to sound loud you're going to have to give it some 'bite' etc.

Compression 'squashes' the sound. It gives the impression that it is pushing against something. Compression is a recognisable characteristic of saturation but it also imitates the tympanic reflex in our ears. This is a mechanism that reacts automatically to loud sounds in order to protect our hearing. When we hear artificial dynamic compression applied to a sound there can be a recognition that this same kind of mechanism is being triggered. Compressed sound can appear to be 'loud' even when played at low volumes. In order to maximise on this effect though, you really need to compress not only the source but its acoustic environment too.

Another tool that has already been mentioned, is relative loudness - but also relative proximity. You really need to offer perspective to the ear. A loud sound is only loud to our ears in comparison to quieter sounds - either within the same song or in other songs (or even just in memory). The spatial environment can be really important too. There is a difference between a sound being 'loud' because its being generated by a certain force, and because its just appears to be closer to us than other sounds.