There are several possibilities here....
You may have the volume limiter set
'Settings', 'iPod', 'Volume Limit' ->set to 'Off'
The headphone jack needs to be pushed in *really* firmly; several Forum members have had problems - it's a tight fit and needs a really firm push. This is doubly the problem if you have the iPad in some of the cases where the cut-out for the headphone socket is slightly misaligned and can obstruct the headphone plug/jack when you try to push it in.
When you have the headphone in and turn up the volume, you'll see that the volume icon that appears on the centre of the iPad screen has the word 'Headphone' there, thus indicating that the iPad has recognised there's a headset plugged in.
There are a few other things that could be the problem, but try these simple ones first - OK, sorry - you've probably tried them already!! Anyway, get back to us and we'll try some other possibilities...
Tim
Scotland