Watch the Jimmy Page online guitar lesson by Jeff McErlain from Kings of Tone
Amps and pedals react differently when loud or soft, so it is important to adjust your amp at the volume you intend to play it at. Also you need to be able to tweak it when rehearsing with a band as well. Things like bass and ambient effects like delay sound very different at low volumes than they do loud or with a band. This is especially true with modeling amps and effects, sometimes people will tweak their sounds through headphones, bad idea!