Not sure if this at all speaks to my Italian heritage, but I have found words that carry this suffix behind them as being particularly pleasing to my ears.

Bonus for those words that merit an "l" at the end, as well.

intaglio - carving into a stone face that leaves the remaining, surrounding stone untouched
punctilio - a point of exactness in conduct, ceremony, etc.
seraglio - an inclosure, a place of separation; a harem
curculio - one a large group of beetles of various kinds
imbroglio - an intricate, complicated plot; an embarassing state of things, a serious misunderstanding
moustachio - pertaining to the possession of a hairy upper lip (a sophisticated mustachioed bourgeoisie)
rosolio - ?

Any more?

The Italian language is especially rich in words ending with a vowel, which no doubt contributes towards its musicality.

There's brio ~ vivacity
Intaglio is rather more boring, though.

Words which end in -io in Italian usually descend from words in Latin in -ius/-ium. Oftentimes, a word ending in -(V)glio contain a Latin -(V)lius which are usually diminutive suffixes. The quality of sounding pleasant is, I think, mostly subjective. Many of the northern Italian dialects have a substantially different phonology, prosody, and phonotactics from standard (Tuscan) Italian, yet they sound pleasing to my ear.