Try Cry of Fear.
Its a horror theme game, but has multiplayer/coop.
The servers are down so if you want to connect to a friend or vise versa you have to use Hamachi.
The game is a bit choppy I must admit, but it will scare the stuff out of you at some points.
Host your game, set players to 4 ect.
Your friend must open his console (~) and type SV_Lan 0 and then Connect (Your Ip)
All you have to do is Sv_lan 0.
Then boom, spook away.