Hey there,
My friends and I look for locally playable co-op games.
Last time we had a little get-together we played Shadows over Mystara
and Gremlin's dos version of Hero Quest, and had a lot of fun.
Can you give us some other recommendations?
I'm very familiar with MAME, so mainly anything outside that.
As these titles suggest we don't mind the games being 'old' at all, just something the three or four of us
can play locally, something not too complicated - and if it has some rpg/fantasy themes, that's a plus.
Thank you!

Since Hero Quest is a board game it seems you don't mind turn-based hot-seat games. Then I can recommend the Heroes of Might and Magic Series. The whole series is currently 80% off (the sale is still running for the next 24 hours) and is basically a steal at that price. If you only want to get one of them I recommend either getting 3 or 5, depending on whether you prefer more classical look and gameplay or if you want something a bit more modern. Though even HOMM 5 is 15 years old by now. ;-) The series is considered one of the best among fantasy strategy games so you can never go wrong with recommending these games.

Another classic for local co-op is The Lord of the Rings: The Return of the King. Sadly that game was never sold digitally. You will have to find second hand CDs if you want to get it legally. Totally worth the hassle though. Amazing graphics for its time (still looks good today, 18 years after release!). Great and fun gameplay, one of my all time favorites for local co-op. Check out some gameplay videos on youtube.

My suggestion is Talisman. An excellent adaptation of the board game, which you can play with several friends on "hot-seat" co-op, just like the old HeroQuest.
I play it a lot with friends and if you like tabletop games and Heroic Fantasy then it's a no-miss.

There are many DLCs for it but the base game alone can be a lot of fun on its own. You can even play it on the net if you feel like it and the game has a good thing: if the game host has DLCs then all the other players get to play with them extensions, even if they only own the base game.

EDIT:
There's also Talisman: Origins, but it is a single-player only version of the game (although you can also play the original Talisman against an A.I.)

List of co-op games:
- Battle Axe.
- Mother Russia Bleeds.
- Death Road to Canada (currently on sale).
- Divinity Original Sin (complex but really good).
- Sundered.
- Children of Morta (I think it has split scree coop).
- Blazing Chrome.
- Trine series.
- Fight 'N Rage.

Thank you all for the suggestions!!!!!!!!!
We're going to have a blast ;) I cannot believe I forgot about the Heroes series.
It's even more fitting, since all of us played the crap out of heroes 3 when we were kids.
Thank you for the reminder!