I've encountered this several times lately, sometimes with teen girls, sometimes with teen boys. Depending on my reading of the situation, I've tried a polite, "Excuse me, could you please use headphones?" to a more sarcastic, "Have you heard of this fab new invention, it's called headphones?" (not verbatim, obviously). This has resulted in apologetic/embarrassed responses thus far: I think most kids are either not really thinking, or would like to feel quite big, and deflate quite fast when they realise that others don't see them that way. The other day, it was a group of boys, compounded with lounging around with feet all over seats and tables, and I was just winding myself up to say something, when a male passenger delivered the polite version of the headphones line, which also sufficed to get the music turned off. A conductor then came and noted that they were in the wrong seats for their ticket type, at which point the random feet were suddenly brought under control as well.
With kids, I tend to weigh the potential for aggro against the number of stops that I'll have to put up with the obnoxious noise. The only times I've really felt at a loss to say something has been when confronted with drunken oil workers or footie fans or hen parties on the train, at which point there's no reasoning, so it's best to speak to train personnel if the situation is becoming intolerable.