What is it.........

I've had the same experience. Early in my hi fi journey, I bought records with songs I'd heard on the car AM radio, and was disappointed in the LP stereo version. The sound quality there was fine, but there just wasn't the same impact. For example, I would have to listen for guitar parts that were right out front over the radio. I think bdp24 has a good reason, in that the mix was different. There are a couple of other possibilities:
- Car radio receivers are pretty darn good. They have to be, operating in a very noisy (ignition system etc.) environment.
- Dashboards and car doors actually make decent baffles for speakers. Again, the environment (road noise) demands some good audio engineering there.
Listening to music over a hi fi system is very different from listening to tunes in the car, as djones51 points out. The demands of driving require looking and thinking about the outside environment, not listening for musical detail in amongst the road noise. Hence the need for strong vocals and midrange elements.

A little off topic, but.....
Ever listen to a REALLY good cassette recording(not a pre recorded one, but off a clean LP) thru electronic Xovers, a trunk full of amps and thru separate drivers?http://milbert.com/

I'm imagining this is what it would be like inside a pair of giant headphones. The music goes thru your entire body. Dynamics like some of the great systems you've heard before. I'm not talkin about loud, but actually passing for "fidelity"

Any song that comes over AM radio I don’t expect to hear. If it is a favorite song of mine, especially one I haven’t heard in a long time, and double-especially if it has good memories attached to it, then the element of surprise is heightened by those aspects. Also worth mentioning is the knowing that others are hearing the same song—and in far-fetched land—feeling the same thing. Most of that really doesn’t apply to a song I hand-select to hear over the big-rig stereo. That’s not to say that listening to the big-rig is devoid of emotion; it’s just a different experience. One has to know how to sort out one’s emotions 😉

I’m going to say it’s because the car radio runs off battery power and doesn’t have the harmonic distortion of AC powered systems.

Also another complete guess is that perhaps when our brain hears a low bandwidth signal it isn’t expecting anything to do with real sound, and fills in what’s missing.

When you hear a full bandwidth signal with actual dynamics, maybe the brain is expecting some thing more literal, instead of the mere represenation of music.  

in the same way, you can watch low quality comedy YouTube image and still laugh as hard as watching it in the theater, but it doesn’t have the immersive quality.

Also think of a voice over a squawky phone signal.  You will get the content of what someone is saying, but you might miss small cues like a sigh, that indicate additional meaning. 

The car is isolated from seismic type vibration by springs and gas pistons and there are no crossovers in speakers or room issues.