We all know this person. Yes, they're sitting at the complete opposite end of the train or bus, but you can hear every lyric and note to the song from their headphones. This person listens to music at a volume most of us didn't know existed. You imagine they must feel like they're standing next to the speakers at a Van Halen concert with how high that volume is.
Most of the time no one will say a thing to the resident DJ, purely because they don't want to be "that guy."
My advice, try and find the humor in the situation, hope they have the same taste in music (kudos to the guy with Michael Jackson playlist on yesterday's 7:32 a.m. train), and if you just can't take it anymore, put in a request for some Red Hot Chili Peppers and hope they're a cool enough DJ that they actually take requests.