Yeah, you could give yourself a really good challenge by building up a country in a particular way, and then right before the conflict starts up, load up the other side.
I've never tried the coop same country though. I can imagine it'd be very useful for many of the majors, as the UK has conflicts on the home front, as well as Africa and India. Germany has a two front war, as does the USA. It sucks to miss some action on one part of the world while you're taking care of the details of an offensive in the other part.