It is somewhat hard to get specific recommendations without knowing a whole lot of relevant considerations, such as price range, room placement limitations, size limitations, associated equipment, etc.
Generally speaking, the speakers that seem to lose the least, in terms of dynamics, when listening at lower levels are horn systems. But, these also tend to be big in size. The high efficiency of most horn systems also enables one to use lower-powered amps, which are also particularly good at sounding clear and punchy at lower levels. Some single driver systems are also quite good at lower level dynamics, but, many have tonal balances that are not to most listener's taste, and the better systems are VERY expensive (e.g., Feastrix drivers, Voxative speaker system).
Electrostatic systems can also sound quite good at lower volume levels. In addition, the dipole radiation pattern allows them to be played at subjectively higher volume levels without being as annoying to those not in the primary listening area. This is because of several factors. First, most have a somewhat narrow dispersion pattern. Second, the large panels tend to have a slower fall-off of volume with distance from the speaker. But most importantly, the dipole radiation means that the front and back soundwaves are out of phase with each other and they cancel to the side of the speaker. When I changed from electrostatic speakers to a dynamic system, I found that there was MUCH more sound "leaking" to other rooms.
One more general observation. Human hearing has different subjective frequency response at varying volume. At lower volume bass has to be boosted in level to sound subjectively as loud as mid frequencies; treble has to be boosted too, but not by as much. In the past, most receivers and amplifiers had a "loudness" control that altered frequency response for different volume settings. That would help to restore natural tonal balance, though dynamics would probably not be helped.
Not knowing your other requirements, I offer the following brand/models as sounding good to me at lower volume: Reference 3a speakers (all models); Trenner & Friedl Art and Dizzy model; DeVore speakers; Totem speakers; Harbeth speakers, Spendor classic line speakers; Quad (electrostatic and dynamic speakers); and Synthesis Debut model.