Hi Paul…
We mostly play games on our Xbox 360 and Wii but thankfully, most of those games are also available on the PS3.
Funny enough, I was actually going to suggest the LEGO series games but since you guys have already tried that, I'll stop there! LOL. As for a Skyrim-type of game, the closest and most recent game that comes to mind is Dungeon Siege 3. It's certainly not my favorite game of this type, as I preferred Baldur's Gate for the PS2, but it is fun to play together.
As for some other co-op games…if you enjoyed the Uncharted series, Uncharted 3 has a co-op game mode that is a lot of fun. We haven't fully explored it but I was very pleased that they included local co-op (finally). It's not like the single player campaign though, it's a little more mission based with it's own little storyline.
Rainbow 6: Vegas does includes a co-op campaign mode and the last few Call of Duty: MW's have included Specs Ops which is mission based, like surviving waves of enemies or do a particular task; COD: Black Ops has a 2 player splitscreen Zombies game. A lot of the big FPS titles have been including a co-op campaign mode as well.
We played the crap out of Resident Evil 5 in co-op and that was an amazing amount of fun. Not as scary as the other Resident Evil games but you really have to work together in that game or you will die…a lot.
Games like Little Big Planet or Disney Universe are a lot of fun to play in co-op mode. These are a little more on the cutesy side (that will bug some people) and are platformers, but they are still a lot of fun to play together. Castle Crashers is a lot of fun and can be played with up to 4 players locally. It's like Golden Axe or the Teenage Mutant Ninja Turtles and Simpsons side scrolling game. A lot of chaos = a lot of fun!
A lot of the PSN titles have good co-op as well…I would check out Lara Croft and the Guardian of Light. It has a great co-op campaign as well as a unique single player campaign.
As for PC games, our friends, Manny and Mary (they wrote the Blizzcon 2011 article), have a great setup where they can play WoW and Rift together. They are working on a 4 PC setup so that we can all play Diablo 3. All of these games have a monthly premium, which could be a deal breaker.
I know there are some other dungeon crawler type of games out there…but the ones that I am thinking about may not be available on the PS3…so I'm going to do a little more research on those games and get back to you. In the meantime, if you want a dungeon crawler, I think that Dungeon Siege 3 may be a good place to start.
Hope this helps! Let me know if you have any other questions! Happy gaming! :-)