Me and a mate have done quite a lot of fps co-op on the ps3.
The games we've played through are:
Rainbow Six Vegas 2 - good fun, its quite cool to be all coordinated and use stealthy tactics.
COD WaW - good game, good length of gameplay, good story line and bayonets! Oh yeh and zombie mode.
Resistance 1 and 2 - These were a good laugh, if you do this deffinately get the first game first, not only because of the story, but if you play the 2nd through and then decide to go for the 1st it may feel a bit lacking.
COD MW2 Spec ops - This is brilliant fun, and its a nice challenge getting all of the starts, its also good because you can pick it up and do a couple of missions in 15 mins or so between doing other stuff.
Hope this helps, I think we've played more but cannot remember for the life of me what they might have been.
edit: I know this isn't exactly co-op, but if you want something non fps, get fifa 10 and play a league together. I find 2 player teams on that game brilliant because your partner is always there on the run for a great ball in etc.