Definitely Rainbow Six: Vegas 2 (Vegas 1 is alright too)

AND

N+ (but make sure you have skills, and lots of patience)

Marvel: Ultimate Alliance is lots of fun. Particularly if you like Marvel Comics. Daredevil ftw

Streets of rage 2
Doom
Ikaruga

Just thought i would throw some XBLA games in there

GRAW 1 and 2 both have 4 player co-op locally.
Rainbow 6 Vegas 1 and 2 have 2 player co-op locally, and 4 player online i think.

 Perfect dark zero co-op is the main story but 2 player split screen, handy for a few extra achievements i suppose

Too Human, so I've heard

The Simpsons Game. Trust me.

halo3 - 4 player co-op is great.

halo3 - 4 player co-op on the levels with vehicles is awesome.

cool thanks.