I see that people mentioned Deus Ex a couple times, too. Coop doesn't work in a game like Deus Ex, because there's too much NPC interaction. Originally, in the design document for an upcoming game of ours, we had laid out ideas for coop... but once we started planning out city areas and NPC's, it was clear that it was just not going to work. There are areas where the player might spend up to an hour engaging with NPC's, such as shopkeepers, quest givers, trainers, etc. Can you imagine being in a 4-person coop game, spending 5 minutes buying what you needed, then having to wait 30 minutes for the explorer of the group to finish talking to everyone? I wouldn't. I'd leave the map.
And like Beamer says, what happens when that one person leaves the map? To be able to keep track of everyone, the server host would have to create a new instance of each map occupied by another player. First of all then it's no longer really coop anymore, second of all if it's a linear storyline and one person goes off and completes some events this now disables those events for the rest, and third most computers would not be able to handle multiple map instances and still maintain adequate performance.
So Serious Sam is perfect for coop, whereas games like System Shock, Deus Ex, and even Doom 3 (there's a fair amount of level-switching and NPC interaction in D3) are not so perfect. I'm sure when iD was designing D3, they had to consider these kinds of things. It's not that they were technically unable to do a coop mode, it's just that it doesn't work out so well in practice in some situations, like the beginning of the game. The more depth and non-combat interaction you add to an FPS, the less practical coop becomes.