Most manufacturers skimp on the amp and speakers on cheaper models, but the sample source and keyboard is often the same as a better model. To release the potential, you need to connect the "line out" or 'phones jack to the "aux in" of a decent hi-fi amp and a reasonable pair of speakers. A real piano has a huge soundboard, so it's impossible to emulate that kind of sound from the throwaway 10Wx2 amp and pair of 6"x4" paper cone speakers integrated into most cheap digitals. What's more, you can use the amp and speakers as part of a hi-fi!!
My hifi tube amp and speakers cost several times what a midrange Clav costs and the money is in the sound.
I did need rather a long RCA/Phono interconnect though.
If you are into electrical DIY then use HT100 or CT100 Satellite signal cable and make your own as it is cheap and can shoot the signal a long way.
The other trick is to use the phono outputs from the Clav into a proper good quality headphone amp. Most built in Headphone output stages leave something to be desired.
- I use the Little Dot 2++ Tube headphone amp and a pair of Sennhieser HD-650 phones - Stunning!
Of course with an amp you also get extra flexibility to work with the lower, mid and upper ranges of the equaliser.