If you get close enough to the speakers at a loud concert, you can actually feel the low notes vibrating in your body. While the higher notes may be just as loud, you don't feel those.
Unlike waves on a lake, sound waves don't travel up and down. Instead they're more like layers of high and low pressure traveling outward in all directions. Each wave consists of a layer of high pressure followed by a layer of low pressure. But sound waves don't just travel in air: they travel through whatever they encounter, including your body. So when you listen to loud music your whole body alternates between high and low pressure just like the air around it.
The reason high and low pitches feel different has to do with the length--or thickness--of the wave. High-pitch sounds produce thousands of very short waves--maybe eight to ten inches thick--each second. A very low note might generate only about 65 waves per second, but they could be nearly seventeen feet thick. That difference affects the way you feel the music because with a low note, your body spends a relatively long time actually inside the layers of low and high pressure.
The waves of a high note travel through your body as well, but they oscillate so quickly between high-pressure and low-pressure that on average you don't feel any real pressure change. So next time you're at a concert and you feel those low notes going through you, remember that you are a part of the music.