Recommendations for speakers that sound great at lower volume levels.

Most of my listening now is in the late evenings or early mornings, at low to moderate volumes. The good thing about that is less competition from outside noise (less outside traffic noise, no TV going in the other room, cleaner air ways, less line noise, etc etc.). Unlike some who think that Maggies don't perform well at low volume, I find quite the opposite. With some pains taking detail to speaker placement and moderate room treatment and the help of a good sub/subs - Maggies can sound incredible, even at low volumes. During my late night sessions my little Maggies provide all the subtle details, fullness, richness and engagement of a live acoustic or great vocal performance, without having the next day numb that comes with loud.
With the exception of the larger 3.7i or 20.7i, I don't think there are many speakers at any price that could satisfy me more, than my little Maggie 1.7s, for the type of listening and music I enjoy......Jim

Higher efficiency speakers often do sound better than low efficiency, and can do so by a wide margin. But, some lower efficiency speakers do sound pretty darn good at low volumes. 

I agree that loudness controls are a huge help--yet, as stated above--they are nearly extinct.  I have a preamp with tone controls.  I use them about once or twice per month--typically when I want to work while listening or read.  At low volumes they do not impart distortion that I can hear or that bothers me.  As I tick the dial up, I don't like them or use them as much.  It's nice to have a tone defeat. 

+1 on the Loki.  I had one before I got a preamp with tone controls.  Very nice unit and when defeated I couldn't hear it doing anything adverse to the signal.  Great product. 

Important to note that, to the human ear, high frequencies up to about 16K Hz, balance out at about 60db while bass below 50 Hz is up near and over 100db. so a good sub with an adjustable volume control is helpful to add fullness and weight to any speaker when listening at lower volumes.....Jim

A large horn system can be one of the best choices for low-level listening. One of the reasons that conventional designs require compensation isn't so much the fault of the human ear but of the modern loudspeaker. Horns have controlled radiation patterns and have throw since they couple transducer to air column.