Amp stuff is complicated because the audio signal is AC. DC circuits have simple resistance and power calculations (but are awfully dull sounding!). With AC signals, you have power flowing through wire coils which creates a magnetic field, and those coils are attached to cones and suspensions whose physicality affects the electrical characteristics. Impedance (sort of the AC analog of resistance) is a complicated calculation that turns out to vary a LOT depending on frequency. The formal term for a device like a transducer is a reactive load.
When you see an impedance figure for a speaker, it's a nominal number, which can be much higher or lower depending on frequency and even on how you design the cabinet it's in. Out of the cabinet, the impedance of dynamic drivers like speakers gets higher at the free-air resonance frequency. If you take the same speaker and put it in two different cabs, you may read different impedance response because the air in the cabinet changes the stiffness of the speaker's suspension. That may or may not be an intentional part of the design.
Tube amps have a higher internal impedance than solid state amps. When an amp drives a speaker, it works pretty efficiently when the amp's output impedance is much lower than the speaker's input impedance. Solid state amps are often a fraction of an ohm, so they are very forgiving with different loads. If the speaker impedance is lower than the amp's output impedance as is often the case with a tube amp, the transmission is very inefficient - a lot of power literally gets reflected back into the amp. So, tube amps usually have a transformer that matches the amps output to the speaker. If you mismatch the connection, it can be very hard on your tube amp.
If impedance is the AC analog of DC resistance, then this kind of explains what's happening with power, which is sort of the product of voltage and current. When the resistance/impedance is lower, then more current can flow and you'll get more power ever if the voltage is the same. This is what's happening with solid state amps that give double the power when the load impedance is halved - the voltage of the output stays the same, but the current increases inversely proportional to the impedance. This is also why you dont want to run at 2 ohms in most cases - the amp is pushing a LOT of current out at this low impedance, which equates to heat. If there's not enough cooling available, you'll cook the output transistors. When you see an amp that doesn't double power between 8 ohms and 4 ohms, it's probably because the power supply or output transistors can't push this much power.
The physical difference between an 8-ohm and 16-ohm speaker may just be much more wire on the coil, but the magnet and suspension may differ as well. Having all these individual speaker impedances is a by product of the tube years, when you really want to be able to make parallel/series connections of multiple speakers to get to a specific value that's good for the amp. The changes that influence impedance are probably relatively minor compared to the other things that speaker manufacturers are modifying between models, but it's possible that they may sound different or have different levels of reliability (I've never seen anybody comment that a 16-ohm speaker is more reliable than 4 ohm or vice versa).
On Joey's question about different speaker cabinets, the math says that things should sound the same, but that's not been my experience in real life. The amp may be producing the same amount of power and it's being proportionally divided between the speaker per their impedance, but what's really having a big effect is the amount of speaker cone in motion. A 15 speaker has about 175 sq in of cone area. This is about the same as two 10 speakers which are 78.5 sq in each. But the 15 speaker cone is heavier than the cones in the 10 speakers and has much less high end response. So, it will probably sound pretty different. An 8x10 has 625 sq in of speaker, double the moving area of a 2x15, so the 2-15 has to work a lot harder to move the same volume of air and do so as cleanly as the 8x10.
Everything else equal, more speakers sound better to me, as long as I'm not the guy who has to load them all back into the van after the gig!
David Fung