Not perfect, but here's what I use...
I've got several solutions that I use, when I have the PSR-800 in the car or outside--none are perfect, but they're better than hearing nothing.
1. In the car, I use a Motorola amplified speaker--purchased on eBay--you can sometimes find them with a 1/8" plug that will fit the 800 perfectly. I cut the molex connector off of mine, and wired in a 1/8" plug. At MAX volume, I can hear the scanner much better than MAX volume from the small scanner speaker. This is the best solution I've found. Still the volume isn't as loud as it should be: with my PRO-2096 the volume that normally comes out of the Motorola amplified speaker can kill small pets... I can drive at 60 with the windows down, and still have plenty of volume so clearly, the PSR800 isn't putting out much power.
2. Also in the car, I use a Roadpro or Workman over-the-ear earphone. At $3.99 + $3.50 shipping on eBay--they're cheap and work well. I have a half dozen of 'em. They also work well when on foot, but people tend to stare, since it covers the whole ear. My only problem is that I can't use it with my bluetooth headset, since I'd have both ears covered while driving. I know... hang up and drive.
3. When on foot or other public places, I use an earbud-style earphone--the kind with the coiled acoustic tube that the secret service made famous. It is very low profile, but they tend to cost a bit more than option number two above.
The low external output of the PSR800 is one of the few annoyances on an otherwise fine scanner... I hope one of these solutions works for you.
Regards,