@gsoundrich - Give it some time. Mine were still changing two weeks after purchase. I'd suggest playing them overnight at a level that is just slightly painful when they're in your ears. Put your collection on random, and let them go. You'll have to do this for several days in a row. It does change, but it takes time.
I too had a pretty extreme reaction, and nearly sent them back to Best Buy 3-4 days in. I reminded myself to be patient, and not return them until they had 150 good hours on them. I'm not disappointed.
@Ecaz - No amp needed at all. My Zune goes up to 30. My Bose in-ear I used to use forced me to turn the Zune to 25 or so for a good listening level. With the S4s, I typically listen at 11. 17 sounds about right to me for volume replication, which only really works anyways on natural sounding recordings, which, of course, is mostly a source and mastering issue. Anything above 20 with the S4s is painful to me.