Unplug your headphones. Then go to System Preferences -> Sound pane -> Output tab. Under Select a device for sound output, you should see Internal Speakers. Put a checkmark in the Mute checkbox. (If it's already checked, uncheck it and then check it again.) The internal speakers, which are what the startup chime plays through, are now muted.
Then plug your headphones back in. After a few seconds, you should see Internal Speakers change to Headphones. Now you can set the headphone volume—using the fader there, or the keyboard volume controls, or the slider in the menu bar—without affecting the muted state of the internal speakers.
Of course, if you frequently switch back and forth between headphones and internal speakers, this isn't a great solution. It works for me because I have a Mac mini, whose single internal speaker sounds like the Zenith transistor radio I got for Christmas in 1967, so I keep the headphones plugged in all the time.
dkmarsh • member, FineTunedMac Co-op Board of Directors