Here’s a little fact that you may not have known about the volume knob on your typical electric guitar: it actually changes the timbre of your guitar as you move it.
Without getting into the technical aspects, as a volume knob is turned down it will typically remove high frequencies along with lowering the overall volume. Don’t believe it? Try playing through a guitar amp with the volume knob at full blast, then turn the volume knob down and turn the amp volume up to compensate so it stays at the same volume. Notice the difference in tone? It can be subtle, but it’s there.
For the most part, this won’t cause any major problems. You just need to realize that if you’re going to adjust your instrument volume through the volume knob on the guitar, the tone can vary drastically depending on where it’s set and you must compensate for it.
There’s a psycho-acoustic phenomenon where sounds with a lot of higher frequencies are actually perceived as being “closer” to you. By reducing volume AND higher frequencies, you are actually pushing the guitar further back in the mix than if you were to only reduce volume. Try and use this to your advantage, by allowing some room for other high frequency instruments in your mix to come forward (especially vocals!) Another way to approach this concept is to start with the volume slightly lower and boost for solos. If your sound includes distortion, it will also affect the quality of distortion.
I mentioned earlier that there are some guitars that compensate for this effect that is a natural part of the volume knob: some volume knobs do the opposite and actually reduce lower frequencies as the volume is turned down. Personally, I prefer this sound much more since the guitar isn’t really a low frequency instrument, and the effect is far more subtle.
One other fact you may not have known about volume controls are that they can be either linear or logarithmic in the way they attenuate volume. Linear volume controls are more common but logarithmic volume controls perceptually increase/decrease volume in a smoother way to the human ear. Linear controls will have spots on the control where the amount of volume (perceptually) changes suddenly.
The volume knob is one of the immediate controls at your disposal in a live setting, so understanding its full potential can unlock a lot doors for you. No need to reach over to that amp as much. Have fun!