Recommendations for speakers that sound great at lower volume levels.

Big.high.efficiency.speakers…

Got a pair of Cornwalls specifically for this reason. 
Also have a pair of ESL-57’s which also, as it has been stated above, sound lovely at low volume.

Big speakers that are high efficiency do help in low volume listening.

Low noise, low distortion, electrical synergy, a quiet room.  The whole signal path is relevant for engaging low level music.  Don’t just blame your speakers.

What you need cannot be achieved by ANY speaker (except a subwoofer).
What you need is an amplifier with the good old fashioned loudness control.

some thoughts- if you just came from a high-noise environment such as work or the noisy highway commute, your ears will take a good while to re-adjust their fletcher-munson loudness thresholds. just like how your eyes [when exposed to bright light] take a good while to adjust to low light, so too your hearing must similarly adapt to quiet after loud noise. so wait at least a half-hour before you listen to music after work. also if your room is too crowded/densely furnished/carpeted/upholstered, that will interfere with low level detail retrieval in my experience. you need room for your speakers to bloom. you also need to live in a quiet house in a quiet neighborhood, your kitchen needs to have a door on it [fridges and freezers generate a LOT of brown noise], you need to turn off your central heating/cooling while you are listening because they generate lots of brown noise as well. do these things and suddenly you will find that your speakers now sound as though the blankets have been removed from them. you will be amazed at the sonic fullness and details you hear. 

Cakyol, thanks!
Can't believe no one else mentioned that.
The human ear simply does not hear higher and lower frequencies as well as the mid range at lower volumes.
A speaker would have to be far from flat to sound great at low volumes and would sound awful at higher volumes because of abnormally loud lower and higher frequencies. 
Loudness controls addressed that limitation.
My Parasound has bass, treble and sub level controls on the remote, so I can adjust the levels accordingly when listening at low volumes. It also has a "flat" button....that returns bass & Treble to the proper, flat levels with a single push, when it's time to turn the volume back up. I know, many goners are rolling their eyes at such a feature, but it serves my purposes well.