I'm very disappointed about the sound quality on music when using Ubuntu 11.10 compared to Windows 7. I use Audacious (Winamp on W7) and no matter how much I decrease the volume slider it's still giving me distorted sound and it's so annoying. I tried the PulseAudio Equalizer as I read but it gets worse.
You could try Open Sound System (OSSv4) with production quality enabled in the ossxmix. Unfortunately this requiers building it from source and also removing ALSA, PulseAudio from your Ubuntu and setting applications backends to OSSv4.
You should post the output of lspci -v command (run it in terminal) for audio device section. When you will know what's your soundcard then you can check if it is supported by Open Sound System.
Ubuntu community documentation regarding OpenSound has commands for removing ALSA (reboot requiered) and of course installation of OSSv4 (including compiling from source). There is also the official guide regarding that process. Before you start the compilation open up software-properties-gtk application as root and check the source code on the first tab. Then update your software sources and run this command:
You should change configure script GRC_MAX_QUALITY=3 to GRC_MAX_QUALITY=6 that's for production quality resampler. Know you can build the .deb package.
When all that is done than it's time for configuring applications. You can also emulate ALSA for applications that doesn't support OSSv4 edit /etc/asound.conf or .asoundrc as per instructions on Arch Linux OSSv4 Wiki.
Did you check the settings in the audio control panels for output levels, etc to make sure none of them were set to an extreme?
Is it the same computer with the same hardware? Same source material? If the source is on a mounted NTFS drive, it might be a good idea to copy it to your Linux home directory to make sure there's no funny business along the way.
I realize that music quality is hard to quantify for normal listeners, so telling you it sounds good to me won't help (although I did work at Dolby Labs evaluating new audio designs for many years before getting into programming). Also, I have several audio players, but not Audacious. I usually use VLC, Clementine, or Banshee, depending on what I'm doing.
My ears aren't perfect, but I can tell the difference between 128 kbs encoding, and higher with mp3. I don't normally listen critically on my PC, so I just tried using headphone with some decent quality MP3 files, and they were not distorted. This is with an older, fairly cheap home-built computer with built-in audio.