Hi kleopatra,
The output is probably somewhere between guitar level and line level, so it's no surprise that it won't drive headphones well. You could try a headphone amplifier, I have the Presonus HP4 and it's pretty nice. Multiple people can plug headphones into it and have their own volume control. Also gives you mono, and control over the signal going to the amp. Though if the amp you get has a headphone out jack I'd use that instead.
Make sure you are getting a good earth ground to the Theremin. Often electronics that plug in the wall don't use the ground connection, and if that is the case you should provide this manually. Keyboard and guitar amps usually give you earth ground through the audio cable braid, though there is often a "ground lift" switch on guitar amps to reduce hum (don't use this with the Theremin unless it is grounded some other way).
The amp you're looking at seems fine, though you might want one that easily mounts on a pole (monitor type amp) so you can get it closer to your ears. Another possibility is an angled floor monitor type.
As for the mic stand, I'm looking for one that allows me to either sit or stand at the Theremin with no luck. The regular height ones don't go low enough, and the low ones don't go high enough. I'd also like one with more than 3 legs for increased stability; the one I'm using now is a cheeser from Radio Shack that has 5 legs. (3 legs bad, 5 legs good!)
