Speakers that do rock justice ...

Here are a few rockers that have used the speakers mentioned by Bongofury; Rolling Stones, Tom Petty, Robert Plant, Roger Taylor, David Gilmour, Mark Knopfler, Lenny Kravitz, Sting, Lou Reed, Rick Springfield, ACDC, INXS, Suzanne Vega, Ian Anderson, Simple Minds, Mike Oldfield, Tears for Fears. Some have them at home whilst others have them in their private studio.

If you are looking for extreme dynamics with low distortion then this is worth adding to your list.. The SCM 19's and 20's have the largest motor on a six inch woofer in the world. Old school speakers. Boxy designs. Massive magnets. Short coil in long gap. Specially designed not to thermally compress at high SPL levels. (Most consumer designs compress by 6 db or more and sound dull at rock concert levels, the small voice coils get very hot and the woofer linear excursion (Xmax) is often too small to play cleanly.)

Nearly every review I have seen remarks on how loud they play. They also have wide dispersion which means your friends can enjoy it too (big sweetspot). Good luck.

Horns are another option that you should look at quite seriously such as JBL baboon's butt! Although extremely efficient compression horn designs (very loud) can have a tendency to honk at elevated levels (This is a physical non linearity of the air compressed in the throat of the horn)

What about speakers that are good at rock, but also sound very good at mid to lower volumes?

There are a great many speakers to choose from at low to mid volume capability levels - most of them sound excellent. A good audiophile rock speaker will also sound excellent at extreme SPL's (the added capability). Whilst ordinary or low cost rock speakers may not sound very good at all (just play loud).

It is simply much more expensive to build an "audiophile" quality speaker that plays very loud. You may have to compromise on exotic wood cabinetry (expensive) and get an ordinary black box with pro audio drivers (expensive) that is all. An extra thousand dollars in manufacturing cost that would have gone to veneer goes towards expensive drivers instead of cheap ones ($600 woofer instead of $100 and $600 mid instead of $100).

Is it something about their design

Yes it requires a compression horn driver OR a super robust conventional driver (short coil long gap and huge magnets). There are specific design choices needed to play cleanly at loud dynamic levels, such as dealing with the high levels of heat generated in the voice coil (causes compression). If anything the speaker will be voiced lean in the bass, as bass sounds stronger at elevated levels but is nearly inaudible at low levels (Fletcher Munsun curves).