[u]ReplayGain[/u] or the related [u]WaveGain[/u] or [u]MP3gain[/u] will match the perceived loudness of your music. There is a ReplayGain plug-in for Audacity [u]here[/u]. If you are using an iPhone, iPod, or iTunes, you can simply enable Sound Check, which is Apple’s version of ReplayGain.
Note - ReplayGain does not adjust the volume up-and-down in the middle of the song. So, you still may want to use (dynamic) compression (before applying ReplayGain). Normally, you don’t want to do that because music is supposed to be dynamic (have loud and quiet parts), but that’s a creative/artistic decision you can make.
Do NOT normalize after running ReplayGain because it will un-do ReplayGain. Normalization sets the peak level (so all of the files will have the same peak) but the peak level does not correlate well with perceived loudness. Loudness is more-related to the average level and the frequency content.