I disagree with Jez here. If your ipod is running from battery then changing the volume on the ipod changes the rate at which the battery is discharged. The higher the volume, the more power is drawn from the battery and the faster the discharge rate. Assuming your speakers stay at constant volume then the current drawn by the speakers from the mains will stay roughly the same. There may be a small change, but it will be negligible imo.
Jez is correct. When the iPod is connected to an amplified speaker system, changing the volume through whichever means will effect the power drawn from the speaker amplifier supply (the mains). Think of it like the signal from the iPod opening an elaborate tap in the speaker system, allowing more power to flow from the supply to the speaker

To be more technical, it depends on the amplifier topology. A class-A amp uses a great deal even doing nothing and is more efficient at higher volumes. A class-AB, typically employed by such a system (or class-D perhaps) uses more as the volume is advanced, as less power is dissipated as heat.



