It was different throughout the ages:
NES: Super Mario Bros. and Trog mostly, I really remember Trog fondly. But Joust was in there as well, for as long as we could stand to play it. The original arcade Mario Bros. port was a fun co-op game as well.
SNES: three words, TURTLES IN TIME
N64: these were the golden days; Turok: Rage Wars (I never had Golden Eye, so this is where we got our FPS fix), Mario Kart 64, Rampage, Smash Brothers, Mario Tennis (this was cool for four player doubles!)
XBox: This was the last era for sleep overs, as I didn't get an Xbox really until the year before I graduate high school. But, it was really just Halo from this point on...