I played different songs but same issue in each case. I will work on the suggestions so far. As far as TV volume is concerned, I need to check it. Because, I have connected WDTV to TV via component and WDTV to Amp via Optical.
There is another issue which I have to look into. I have HDMI with me but I am not able to change the settings in WDTV video input from component to HDMI. Even if I do so, initially WDTV asks to set resolution. I set it to Auto (not sure what to choose from 1080p 24Hz/50Hz/60Hz). Then at TV HDMI port, WDTV asks whether to keep set resolution. If I press 'OK' the screen goes black and WDTV again goes back to component port.
FYI: I have got Sony 46W550A.