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Red Steel is a FPS that has local multiplayer for up to 4 players. It's cheap to buy too, ranging between $5 and $15 for a used copy.
COD: WAW and MOH: Heroes 2 are more about online multiplayer. COD's local multiplayer modes are pretty basic with one player actually playing while the other just has a gun sight. As the OP wants a local multiplayer game they might not be much good.
Other than that there are rail shooters with multiplayer, the best probably being House Of The Dead: Overkill.
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