In no particular order.
I think the worms games can, but those are technically hot seat. Not sure if you can use two controllers while taking turns or not. Either way you would have to check to confirm.
Awesomenauts does yeah.
Cortex command does, but I found the UI and controls so awful that I couldn't play more than 5 mins of it. Some people swear by it, so your mileage may vary.
Trine 1 does (its local only infact), and pretty sure trine 2 does too. Those are very nice platform/puzzler.
Nation Red does I believe. This is a very fun dual-stick shooter, that gets crazy hectic very fast, and has a surprisingly deep amount of customization and depth (hundreds of perks, a good variety of weapons, and a few game modes).
Apparently magicka does. Never played it myself, but I hear its fun to play multiplayer. Though it's on the buggy side.
You could also look into game emulators or old retro games (I know steam has some sega games rereleased on it)
Hope that's enough to get you started!