Under XFCE my keyboard's volume buttons didn't work. The start/pause, stop, forward and backward buttons were controlling Rhythmbox correctly, but the volume buttons weren't configured.
You have to add the shortcuts manually in keyboard application shortcuts (Settings Manager > Keyboard > Application Shortcuts).
| Shortcut | Command |
|---|---|
| XF86AudioLowerVolume | amixer set Master 5%+ |
| XF86AudioRaiseVolume | amixer set Master 5%- |
| XF86AudioMute | amixer set Master toggle |