If you're like me, you always peruse the preferences for every program you own. I remember when I first did that with iTunes and found the Sound Enhancer. And turned it on and liked the sound I got through my pedestrinan Maxwell headphones. And so I turned it up all the way. And left it on for about a year or so.
About 9 months after I turned on the Sound Enhancer, I bought a new pair of headphones: a set of AKG K-44's. They're not expensive (~$30 if you shop around) and sound good enough to do cheap mixes by (although I can hear the nonlinearites, especially if I listen for a while). I was listening to music with these, and after a few weeks decided that there was something muddy in all the music I was hearing. So I wandered back through iTunes' preferences and for kicks turned off the Sound Enhancer. The music was quieter, but cleaner. A LOT cleaner.
Fast forward another year. My old laptop dies, I buy a MacBook. And today I decide to find out exactly what the Sound Enhancer is doing. So I turn on some music (Grateful Dead's Althea, FWIW--a concert recording, so no mastering/compression applied to it, but I also tested with Pink Floyd's Money, which does have those goodies) and turned on Sound Enhancer. I was first listening through the built-in speakers and noticed that the music became much louder--which is good, since the MacBook's speakers don't have amazing volume. But listening on my headphones, I heard that what Sound Enhancer really does is boosts the frequencies that have the 'important' parts of the mix in them--the vocals, guitars, cymbals, and keyboard melody. It probably also does some compression. However, it leaves the mix entirely out of whack, especially if you're listening on headphones.
My guess is that they tailored it for the built-in speakers, as it's hard to hear any flaws listening through them. (One noticable point: in Money it seemed to over-emphasize some frequencies and gave me a headache, even through the built-in speakers.)
So, the point is: if you've got el-cheapo speakers, and you don't care about what the mix was supposed to sound like, go ahead and turn it on. It will probably make it 'feel' better. However, if you've got anything near hi-fi speakers and actually care about the days of work that went into making that recording sound exactly how it should, TURN IT OFF.