I agree entirely and understand exactly what you're talking about.
I've had the Lumia 920, 830, and 1520 and in my opinion, the 920 sounded the best. There was no clipping or distortion of bass at max volume like the 1520 does, and the max volume was very loud. The 830 is second best, followed by the 1520 which isn't the best at booming bass, but still has relatively loud volume and a good equalizer range.
One of the reasons I held back from getting a 950/XL is because of the terrible headphones audio quality. Max volume on the 950 is comparable to volume level 20 on previous Lumias, and the equalizer range is absolutely terrible. Mids take over the whole sound spectrum and it just sounds messy and low quality compared to previous models.
This has nothing to do with the quality of headphones you buy either. I personally like punchy bass and crisp highs--something you simply can't get from headphones alone and would need an equalizer for. Plus, my (second) Lumia 1520 is nearing the end of its life and I'd rather not buy another one of them given its screen issues.
I really hope they get absolutely everything right with the future flagship because the 950/XL was definitely a let-down in that respect as well.