Bookshelf and efficient with any kind of bass is somewhat mutually exclusive. The NHT Classic 3 is an excellent bookshelf speaker, but only about 89 db efficient, which isnt bad but it sounds like you are looking for more. So why not try powered speakers like AudioEngine. You do have to have an outlet nearby, but self amplified speakers can resolve frequency response issues that are difficult for regular bookshelf speakers to overcome.
I love my LaHave Mela monitors. I have posted about them in the forums here.
You might want to take the line out from the Sonos and run the line level signal into a powered monitor. (This preserves the "hands off" automation of the Sonos, since these are usually signal sensing, auto-on devices). IME, this can be a high value solution for improved SQ via Sonos.
Powered pro monitors usually offer great value, if you can live with a plain cabinet. I use the M-Audio BX5a in my kitchen and get great results for a $200/pr investment. KRK makes a similar series of products that are highly regarded. You can find improved cosmetics at a higher price from home audio producers like Quad and Paradigm (discontinued, I believe - but likely available used).
I think that NHT still makes a reasonably priced option and Audioengine's offering has been well received by some here on A'gon.
Reference 3a makes some excellent stand-mount speakers that are very efficient. Not cheap, but high value.
wilson benesch vertex or trinity. efficient, though maybe not highly efficient.
You might want to look at the Sapphire from Audio Concepts-now called MAG or Meniscus Audio Group. I used them for years with a couple powered subs. Loaned them to a friend for audition in his home and he refused to return them. Still in use and sounding superb.
Do you have a budget in mind? Will you be running a subwoofer?
How big is your room? Will they be on dedicated stands? Music preferences ?
This might help the knowledgable folks here narrow in on appropriate speaker suggestions.
Two small companies that make each speaker to order and have dedicated
Happy customers are Selah Audio, and Salk Audio. You can check their websites or check them out on AudioCircle website.
GR Research has some fantastic book shelf speakers. Epos also makes some excellent ones as well.
A bit of clarification re: my post above.
I think folks have identified some very good monitors here (specifically, I really like the Lipinskis), but....
IME, the amplified Sonos Zone players always sound a bit tinny, regardless of how little they are stressed by a speaker's load. More sensitive speakers aren't IMHO the answer here. Worse yet, better (more revealing) speakers are simply likely to make the internal amp's shortcomings more obvious. That's why I suggest bypassing the amp entirely (or going for the unamplified zone players).
A powered ZP is fine for casual listening, but if you're looking for something that allows real scrutiny, I'd go for an external amp or powered speakers.
If your budget allows, powered speakers from PMC or ATC are excellent choices, as well.
Shelby + Kroll Nano Monitors. they're rated at 6 ohms but according to Tim Kroll They're ruler flat to 10k hz and then drop to 4 ohms and are very easy to drive. They also happen to sound gerat
Speakers from Selah Audio.
Active, built in dac, nice.
One thing I would recommend is that you find a speaker that does not try to reach too deep into the bass (ie needs a sharp cutoff after 50-60 Hz). Once you hear a satellite/sub combo or a good three way speaker with steep crossovers from bass to midrange, you will almost always feel that the midbass is 'muddy' on most two way speakers. The sound dissatisfaction in that type of sound outweighs the false satisfaction you get from a speaker that may sound a little fuller initially.
Lipinski 505 or 707's used in professional studio's. Love the 707's I have. Better than the Klipsch's, Linn's, Wilson's, and all others I've owned.
I agree with Martykl on this one. You're using a mass market device primarily designed to provide mp3 tunes throughout your house via a low cost class D amp with no listed 4-ohm rating, and are looking for audiophile results.
As mentioned before, bookshelf speakers are not the place to look for better bass and higher efficiency. The smaller cabinet means less bass, and the midrange to treble frequency range is padded down several dB so there is some audible bass. Ported floorstanders are more sensitive because the bass is nearly as sensitive as the midrange. Even if you fix all that, however, I suspect you'll still find anything powered by the Sonos to be a bit edgy in the midrange and thin in the bass. I saw nothing in the specs to indicate that it has the high current or damping factor required to get good bass out of a dynamic speaker, let alone a bookshelf.
As Martykl said, use the Sonos's pre-outs to powered speakers or to a better high current power amp or you'll be chasing your tail on this as long as you keep the Sonos amp section in the signal chain.