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Leroux: Off the top of my head, these are some games that to my knowledge support local co-op:

- Guacamelee
- Rayman Origins
- Trine Enchanted Edition
- Trine 2

I suspect (but don't know) that these might as well:

- Adventures of Shuggy
- Crawl (upcoming since forever)
- Fractured Soul
- Hammerwatch
- Octodad
- Pixeljunk Shooter
- Spelunky

I agree that it would be useful if GOG made a distinction between local co-op and 'more than one PC required' co-op (not sure what would be the exact term).
Alecatt: Local Co-op would probaly be the right term, thanks for the list

Grargar: The Adventures of Shuggy
The Chaos Engine
Crimzon Clover
Devil's Dare
Double Dragon Trilogy
Fist Puncher
Fractured Soul
Guacamelee (Both editions)
LEGO Batman
LEGO Harry Potter: Years 1-4
LEGO Harry Potter: Years 5-7
Octodad: Dadliest Catch
PixelJunk Monsters Ultimate
PixelJunk Shooter
Raiden Legacy
Raiden III
Rayman Origins
Risk of Rain
Serious Sam: The First Encounter
Serious Sam: The Second Encounter
Shadowgrounds: Survivor
Shattered Haven
Signal Ops
Tom Clancy's Rainbow Six
Towerfall Ascension
Trine 2
Vertical Drop Heroes HD

Supposedly, Age of Wonders 3 and Ground Control II also have a local co-op mode, though I have no idea how it works.
Alecatt: Thanks Gragar!
Riotact: I think it stems from consoles, where you would be able to sit on a couch and play co-op on the large/r TV screen as opposed to a PC monitor.
Alecatt: The PC hooks up to TV screens as well, consoles are becoming obsolete now.
I'm talking about back in the earlier days for PS1 etc. that had split screen co-op.