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Klipsch Heresy's will absolutely not go low. I have quite a bit of experience with them and trying to get the most out of them. They're fun speakers, and a great bargain for the money, but they do not do bass well at all. After 50hz they drop like a lemming off a cliff.
Of the small offerings in stand mounted speakers there is Reference 3A DeCapo. I also like the speakers I use, Galante Rhapsody's which use concentric drivers. Neither go real low, but both will have bigger balls in the bottom end than the Klipsch. Galante's Symphony speakers may be a better choice if you are into serious low bass. Klipsch with low bass are the Khorns (in corners) which are not exactly small, Cornwall (II), and the Forte II's and Chorus II's. The later are probably a bit less refined and resolving, but are really fun balls-to-the-wall rock speakers without spending a fortune.
Floorstanders are the way to go if you really want bass with no sub. How low-powered are we talking here? Which amp? What is your budget? Probably should have asked that first.
Small size, high efficiency, and "enuff balls down low for Deep Purple, Zep and the like". Not possible all in the same speaker.
Given that larger speakers apparently aren't practical in your room, I suggest you relax your "high efficiency" requirement, and if necessary get a used Pioneer or Panasonic receiver for some decent cheap wattage.
How 'bout that Rega R3 you mentioned??
The new Silverline Preludes will do the job nicely. You get deep, articulate bass and high efficiency in a petite floorstander. They work very well in small and medium size rooms and sound wonderful with all types of amplifiers. The latest model is very well balanced and is not "bright". Their imaging is first rate and resolution is very good.
I use them in a 11x14 room and don't feel like I need a sub at all. A friend of mine has them in an even smaller room and just loves them.
Check out this review from fellow A'goner, Petsound. He is doing something very similar in a small room (8 X 12) and with vintage receivers (10 wpc).
Polk floorstanders review .
As for the Rega R-3, I am using Rega Ara's (now R-1) in two of my systems. The smaller system is powered by a Prima Luna Prologue 5 tube amplifier (36 wpc).
Even as small bookshelf speakers go, the Ara's have decent bass. If you are considering cranking up the 70's hard rock to normal 70's listening levels, consider an amp with some balls, as well. If space is an issue, think integrated or receiver. The Outlaw RR2150 ($600) has juice to spare at 100wpc. I just heard the new SONY DA 5200 ESHDMI HT receiver ($1500) and was very impressed with its audio sound.
I second the 3A Reference MM De Cappo for small room applications like this... Mate them with some good quality stands. They are efficient, dynamic, fast and detailed. The bass may surprise you in small rooms, but if you need more, get some tube traps and a tight little sub like an Onix Rocket ULW-10 that comes with a microphone that does a pretty descent job of automatically calibrating the sub to your room.... very reasonably priced and nice quality.