A frequency response is a good indicator of what a speaker might sound like in person. But, when you're doing the actual listening, there are a whole slew of other factors that you need to account for. First off, a published frequency response measurement is typically done either in an anecholic chamber or outdoors in order to minimize the effect of room interactions. Obviously, at home the speakers are very much subject to the room interactions. The frequency response is an indicator of what you might perceive when you listen to something, but it's not the only thing to account for.

For example, if you look at Stereophile's speaker measurements, you'll see that they do a whole series of measuremens such as the off-axis frequency response, the spectral decay, cabinet vibration, and the impulse response, among others. Each of those measurements add to what the frequency response says. A decent frequency response from an on-axis measurement is good, but if it does not hold up in the off-axis measurements, then the speaker might tend to beam if it cannot be optimally setup. The spectral decay measurement identifies whether certain frequencies decay at different rates than others -- a "notch" in the graph can correlate to audible resonance. Here are some links to what their measurements mean.

http://www.stereophile.com/features/99
http://www.stereophile.com/features/100
http://www.stereophile.com/features/103

The thing to keep in mind is that every speaker out there is making compromises somewhere, and the ones that we individually prefer are the ones whose compromises are mean the least to us. Speakers that more obsessively focus on the time domain accuracy will tend to image better, but might lose some frequency response accuracy as a trade off. Other speakers purposely roll off the highs to put more emphasis on the midrange, while others boost the midbass to compensate for deficiencies in the lower bass range, etc. No speaker can perfectly replicate the source signal, so all the subjective evaluations have to do with what we prefer and what we're willing to live with.

Of course, the other part of all this is the room effects. The "slap echo" that you hear in an empty room is a time domain distortion that has audible effects on the sound. The shape and the size of the room, and the location of your listening position will influence how standing waves affect what you hear. All of these things have separate measurements and corrections that go along with them.