What makes a speaker sound great at low volume?

I’d combine chayro’s (first reply of the thread) and dweller’s posts.

If you are really stuck with very low, middle of the night kind, volumes, "loudness" switch may surprise you. dweller says McIntosh and there are a few more, depending on your budget. Luxman, Accuphase (I am almost certain, but check it). Yamaha also has one although that one, in my experience, is not as good. It works in a different way. If you get intrigued about the "loudness" switch, there is a thread on Audiogon that has a few descriptions of it. https://forum.audiogon.com/discussions/how-loud-is-too-loud

Now, you asked about speakers and a few of us are throwing amplifiers at you. Sorry.

Good luck, listen low.

No crossover. Tube amp directly driving the woofer...

Lots of things. My speakers aren’t the most effecient and require a big amp. My system sounds very good at low volumes which is how I do most most of my listening. I’ve done some tweaking to lower the noise floor which is what I think has worked for me. Start with clean power, dedicated circuits, quality receptacles, quality cables, and cable placement. Nice rigid equipment stand, isolation devices between your components and shelves. I think it’s getting rid of the noise to start with. Speaker placement, your listening position and room treatment also play a big part. Guess I’m saying it’s not just looking at a pair of ultra efficient speakers because it can be done with not so effecient speakers as well. It takes time, experimenting and not being afraid of tweaks, such as fuses and etc.

My rec room speakers are a pair of vintage DCM TimeWindow 3's.  I set the volume on my McIntosh 31V A/V control center to an acceptable level and then use the 31V's EQ and McIntosh MC2600 power amp gain controls to tweak the sound.  This system is all analog.

In my music room, I have a NAD M12 and NAD M22 v2 pushing a pair of Tannoy dc8ti speakers.  This system is all digital, except for my Techniques SL 1600 MK II turntable.  I use the M12's volume control, which works OK - but , the treble and bass controls are no match for a good EQ like the 31V