haha, truth.
For the PC though, Hearts of Iron 2 and Civ4 are both thinky games, but both very satisfying in coop, but only consider them if you know you like these kinds of games. In both cases though the coop is nicely intigrated (not just 'skirmish mode') and playable with just one copy of the game.
Otherwise, the hugely overlooked RTS Ground Control 2 has its complete campain playable in coop with just one CD across a LAN.
This also goes for Red Alert 2.
If you're feeling sadistic Dangerous Waters is now available on Steam. It's a submarine simulator which allows for coop within the same vessel (including destroyers and helicopters). You each choose which stations to man then attempt not to crash into the ocean floor. Which is easy, unless your pilot is retarded or Llyranor.
Starlancer should be very cheap now, and while it's enough that it's one of the best space sims ever made it's campain is also completely playable in coop, including promotions. Nothing quite like working togeather to beat a mission then getting a promotion while your team-mate doesn't. You can then fly your new ship in his face just to spite him.
If space sims have daunted you in the past then this one is very much on the action end of things, no fiddling with your sheild settings or engine output is needed.
Freelancer is also a lot of fun in multiplayer, though it's not strictly a coop campain. More like, you and your buddy are let loose in a universe full of potential and can do whatever you want (including forming a wing, which is coop for all the hirable missions/piracy/trading you can do).
If you're looking for more subtly to your coop, both Hidden and Dangerous games have their campains available for coop. Be warned though, the first game is very unforgiving to those new to it and the second is only coopable with the sabre squadron addon pack (but a far more forgiving and polished game).
I can second Commandos 2 being a lot of fun in coop, though you really really have to be willing to work closely with your team-mate in tactics and coordination. Commandos 1 is also coopable, but I wouldn't recomend it.