I always thought the Marvel Ultimate Alliance games were blast with more than 2 players. If you get 4 players its pretty awesome. Everyone picks a different superhero and you get to beat up badguys and upgrade powers. MUA1 was better but MUA2 was still fun. Both should be pretty cheap now too since they are a older.
Minecraft, Terraria, Shoot Many Robots, Castelvania : Harmony of Despair, Borderlands, Dungeon Siege 3, Dead Island, Fuse, Earth Defense Force ,Dungeon Defenders, castle crashers and battlelock theater.