I want one of my friends to get an Xbox 360, so we can play co-op over Xbox Live. However, most of these games you can play in the same room too.
Off the top of my head here's a list (only looking at the coop portions) that might convince you to get that 360.
Gears of War - A fun gore filled third-person shooter where finding cover is what's its all about. It has a poor narrative, poor dialog, great gameplay, and great graphics. Two player split-screen works well. When one player goes down, the other can rescue them. When both players die, you revert to your last checkpoint.
Halo 3 - The campaign mode in this first-person shooter is a bit on the short side, but after beating it once, google Halo 3 skulls and find them and turn some on and enable campaign scoring for a little bit of competition in your coop. The coop mode is for up to four players, but only two on a single screen.
Perfect Dark Zero - Yet another first-person shooter with coop. Gameplay-wise, probably the weakest of the bunch. But, it has its moments and can probably be picked up really cheap used.
Rainbow Six Vegas - More shooters! This shooter has a much more tactical approach. The pace is usually a little slower, until the firing starts, then your pulse starts to race. You can play coop through the campaign and in the terrorist hunt mode (where you try to clear an area of terrorists).
Guitar Hero - Throw up the horns, 'cuz you're a rockstar. My friends ask me to bring my 360 to their house just so we can play this game. Sure by the time you get the game and two guitars it is pretty costly... But, just get the Guitar Hero II with guitar package and the Guitar Hero III with guitar package. Because after finishing II, you'll want to get III. Probably one of your best coop purchases.
Then there is Marvel Ultimate Alliance and Lego Star Wars, but you've already played those. Or you can check out some of the old-school games on Live Arcade like Puzzle Fighter HD, Teenaged Mutant Ninja Turtles, or Contra. You might also want to keep your eye on Too Human. Not sure if it will have split-screen coop, bu it will have some sort of coop.
On PC, the only recent release with coop that I can think of is Hellgate: London. But that means two PCs with an internet connection.