A lot of showerheads have a flow restrictrion device inside to reduce the volume of water - which also reduces the pressure. Many of the hand shower wands have similar restrictions. This is to meet new "standards" for conserving water.
If the flow or pressure is too low in your shower, check out the showerhead and if there is a flow restriction device (usually a washer with a restricted opening), you can usually remove it. On hand showers, sometimes the flow reducer is a washer with a restricted opening that fits into the nut that screws to the fixed shower pipe, other times it's in the wand - in either case try to remove it if you want more flow/pressure.
And as noted above, don't foreget to use "plumber's tape" (this is a white teflon tape available from any plumbing or hardware store) to wrap around the threads before installing the showerhead - it seals the joint so you don't have to use much torque on the wrench to tighten the nut.
This way, the shower massage can actually work as a massage.
