Another consideration is your listening environment and listening medium. When songs are professionally mixed and mastered, they're usually done so with the right amount of bass. However, if you are listening with speakers that can't produce such low frequencies, you'll be hearing the higher harmonics of the bass and it won't be as "full". Alternately, if you do have full-range speakers, your listening position might be compromising the low end in the form of nulls, where low frequencies meet in certain positions out of phase of one another and cancel each other out.
You can test this by moving around the room and noticing the bass level changing depending on where you are in the room. This is common in acoustically untreated rooms.
If you're listening on headphones, you might find a different experience with different cans than with speakers. The headphones make room modes irrelevant, but then again, headphones don't have 6 inch woofers on them, so they'll be reproducing low frequency content in different ways, to good or bad effect.
As to why bass sounds louder outside the room, it's because of the room and the length of the low frequencies, room modes, etc. There are very technical explanations available on the web if you search around for articles about audio acoustics.
Edit:
Regarding the mixing process, mixes are going to highlight bass more when it's supposed to be the focus, then when other elements are showcasing, the bass will usually be mixed in a more supportive role than a showcasing role, if the genre calls for it. In general, you're not going to want every element competing for attention. When we listen to music, we tend to focus on one thing at a time. The way songs are mixed take this into account to create a sense of excitement and emphasis on various portions of a song, and that can only be done well if certain sounds take a back stage to the elements being showcased.
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