I would hardly call it fun, but i played through Resident Evil 5 with a mate online.
I'd agree there. It's a rather unremarkable game on your own (and the partner AI is terribly stupid), but with a friend it's far more enjoyable.
Can't believe I'm going to say this, but Rainbow Six: Vegas 2 is proving quite good too; aforementioned mate and I are currently tackling terrorist hunt on hardest difficulty, maximum number of tangos and us armed only with Desert Eagles and grenades. Very amusing.