What makes a speaker sound great at low volume?

My experience shows me that good interconnects and especially an upgraded power cord (nothing crazy here. Say $50 for each set of phone plugs to get decent quality plugs and say $75 for the power cord. The Pangea cord from Audio Advisor is very good). People tend to go crazy here but there is a point of diminishing returns of dollar to sound quality. My point is being-to recover as much detail as possible which fleshes out the music at lower levels and does improve efficiency as well. Speaker placement through trial and error, assists greatly to produce a solid sound stage where getting the tweeters at ear level is important.  Smaller speakers, say between Dynaudio to Def Tech 800s are great with a quality subwoofer.  

Quite simply, speakers having drivers with high Mechanical Q.  (Qms)

Chayro gave you very good advice. I listen at low volumes because my ears are sensitive. It's been Magnepan or Quad for nearly 50 years (2905's for a dozen years now, and no thoughts of, or lusts for, change).

Magnepan or Quad. Nothing else comes close.

High efficiency (high nominal impedance and sensitivity). Other parts of the chain can have an influence but efficiency is the primary factor.

High efficiency or electrostatics!