The Neo Geo Metal Slug games were extremely fun to play side by side with a friend. Just note Metal Slug 2 has lag problems due to the engine used, but it was later ported to MS3's engine as Metal Slug X.

Also, most versions of the games on PC come with the ROMs, if you'd rather use your own emulator.

Another set of games we also enjoyed a lot were the River City Girls games. Just had to use health cheats on the SNES game repurposed because it was getting too hard for the time we had. "<.<