I am a little late to this thread, but it is an interesting question that I have thought a lot about.
Unless your amp or preamp has a loudness control, it's really about the speakers. Certain amps will sound better when revved up a little, but in general, the quieter an amp must play, the easier. On the other hand, a speaker designer can very deliberately take aim at a certain SPL and optimise the speaker for that volume. It is a very special speaker that truly sounds great at all volumes. As general rule, the better it seems to sound at low volumes, the worse it will sound when played loud.
One popular pair of speakers that I think sounds much, much better at low volumes are my ProAc D18s. If you take a look at the frequency response of most ProAcs, the curve tends to be a bit smile-shaped: a slight boost of bass and treble, and a slight recess in the midband. In other words, some speakers have a loudness control built in. When this is done subtly, it's praised as a 'BBC-dip,' in reference to the classic LS3/5a monitor. When overdone, people refer to it as 'tizz-and-boom.' But it's the same thing - a recessed band between 2 and 4 kHz.
Speakers with a BBC dip will tend to sound better at low volumes. Flatter speakers tend to sound like all midrange at low volumes but then come alive when the volume is turned up.
Note that some designs inherently are bad at playing loud. One example of this is the 6+1 floorstander (such as the D18s). Regardless of dip or no dip, a two-way floorstander with a smallish bass driver (eg 6") is going to be designed to give some decent bass (which is what people want when they buy a floorstander). With a lowish sensitivity driver and a nice big box, it's no problem, but this design is going to sound compressed when played loud - the large bass excursion is going to start to affect the midrange, and the amp is going to have to really work to get the SPLs from the low efficiency design (also possibly leading to harshness in the midrange).
So a valid solution is to turn down the midrange. When the user turns up the volume he gets more pounding bass, and the increasingly harsh midrange is de-emphasised. And since the BBC dip sounds better at lower volumes anyway, it's a good design decision all round for a 6+1.
So if you want a good low volume system, a good amp, paired with small two-way floorstanders with a BBC dip, is a good way to get it. Flat speakers plus an amp with a loudness control will give you the smae result (although conventional wisdom says this is more low fi), and both at the same time will give you some serious tizz-and-boom.