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I can think of Alien Swarm and No More Room in Hell which are free.

You must be thinking of Conflict: Desert Storm. I use to play it on GameCube.

• Alien Swarm (Alien Shooter)
• No More Room in Hell (Zombie Shooter)
• Sacred Citadel (Castle Crashers style)
• Castle Crashers (Castle Crashers style xD)
• Path of Exile (ARPG)
• The Lord of the Rings: War in the North (Coop RPG)

All of them free, cheap or been in a bundle

Rainbow Six: Vegas have nice coop.
Sniper Elite v2 was free.

• Beat Hazard (twinstick epileptic shooter)
• Serious Sam (TSE and BFE come to mind)
• Ultratron (twin stick shooter) (only local coop)
• Just Cause 2 (Saints Row-like) (it has a MP mod)
• Spelunky (sidescroller platforming roguelike)
• Monaco (top-down game where you steal stuff)
• Trine and Trine 2 (platrofm-puzzle thing)
• Sanctum 1/2 (TPS/tower defense hybrid)
• Jamestown (vertical shooter) (local only)
• Killing Floor (FPS, wave based with zombies and a boss)
• Tyrian (old vertical shooter) (local only, FREE on GOG.com)

Killing Floor is amazing. It has been in several bundles before, so maybe you could get a key.

Get Orcs Must Die 2 (first one is only single player).
Hours of fun slaying orcs with traps, spells and weapons with a friend!

Synergy, Half-Life 2 and its episodes (also some mods) in co-op.
You'll need to have the base game, obviously.

Killing Floor 2 is coming out soon watch out for that

Worms Reloaded (teams), Pool Nation is awesome! (If you like to take turns or VS but really fun to play together even on one computer)

borderlands and borderlands 2

People already wrote lots of them, these are all I can add

Magicka
Dungeon Defenders
Payday: The Heist (was 90% off)
Awesomenauts (you can play both againsts bots or real players)

and +1s for games people wrote already
Sanctum 1/2
Castle Crashers
Orcs Must Die! 2
Trine (soon will have co-op)
Trine 2

I don't think it's the type of games you are talking about, but me and my friends love playing Worms. You can usually get a worms game on sale for five bucks.

Two Worlds II (RPG)
Torchlight II (is similar to Titan Quest)

• Guacamelee! (side scrolling beat'em up metroidvania)
• Metal Slug 3 (side scrolling shooter)
• Painkiller Hell&Damnation (FPS, has versus and co-op, can be found very cheap on trading sites)
• Team Fortress 2 (FPS, free, has a co-op horde mode called Mann vs Machine)
• Warframe (third-person shooter, free, it's 100% co-op)
• Renegade ops (top-down vehicle shooter, tends to be pretty cheap during sales)
• Shank 1/2 (side scrolling fighter, very stylized and gory)
• The typing of the dead: Overkill (typing game with zombies, grindhouse style with cheesy humor, has 2-player online co-op)
• Lara Croft and the guardian of light (top-down shooter with light puzzles)

It's not so cheap, but the "Zombies" part of Call Of Duty Black Ops is a nice co-op game :)

PAYDAY 2 was very cheap in Summer Sale, so you still can got it for fair price. As for me, its best coop game ever made.

Payday 2 FTW

Scourge Outbreak

definitely path of exile.

its as cheap as it gets, and you can even 'co-op' with random strangers too! :p

Spiral knights (PVE & PVP) = F2P
Terraria (awesome game) = cheap

Killing floor is an amazing game if you like FPS, gore and horde mode.

Payday 2 was cheap on the summer sale.

Saints Row 2 was in HB for 1 dollar so maybe you can trade some copies.

Orcs must die! 2, third person tower/trap defense.

Terraria if you want a sand box game to build that doesn´t suck like minecraft and you also have kind of an "adventure" to do.

Guild Wars: Nightfall.