Is the headphone jack fully inserted into the Clip? I know it sounds silly, but sometimes it isn’t, and with a new Clip, it can take an extra firm push/shove–the connector may be tight, originally.
Otherwise, if your headphones are ok (have you tried others?), there may be something wrong with your Clip (or files)–this baby can get ear-shattering loud. Are you still within the warranty period? (1 year US/2 years EU.) In at least the U.S., a call to SanDisk will get you a new player under the warranty, with SanDisk covering the shipping cost.