It is a common complaint that the adverts played during TV shows are louder than the TV shows themselves. This, however, is not the case: without adjusting the volume of your TV this would be impossible.

What is different between adverts and TV shows is the difference between the loud and the quiet parts. The loudest parts are the same volume, but the quietest parts of the adverts are louder than the quietest parts of the TV shows, and this gives the adverts the impression of being louder overall.

As an example, I took the first twenty seconds of Kalimba by Mr Scruff (one of the sample songs included with Windows 7) and compressed it.

Original version:

Compressed version:

The compressed version appears louder overall, but a comparison of their waveforms in Audacity shows that the loudest parts of both have the same volume.

The original waveform is shown at the top and the compressed waveform is shown at the bottom.
The scale on the y-axis is the same for both.

The USA has enacted a law, the Commercial Advertisement Loudness Mitigation Act (CALM Act), which mandates that the average volume of adverts may not exceed the volume of the TV shows during which they play, which does away with this compression trickery.