Well, Resident Evil 5 just came out and its 2 player co-op is actually very fun. It’s not really a fullblooded FPS but it’s got plenty of shooting and tactic planning, and lots of creepy boss monsters. It has 2 player local co-op, don’t think there’s anymore than that though. You may be able to chain Xboxes together and have a multiplayer local match, or at least be able to create a game online and join, but don’t quote me on the local aspect as I haven’t tried that. I’m only a few chapters into the game, but I’d say it’s worth the pretty high price Capcom’s asking. And it’s on many consoles too.
Generally speaking, I don’t think there’s a lot of high quality multiplayer FPS games out there. There’s just no market for it. Most FPS games are geared for one person play, and there are just very few co-op games in general. I wish there were more, I love playing co-op!