I'm definitely with you on a lot of these. My fondest memory of couch co-op is playing through all of Donkey Kong Country with a friend, tagging in and out between Donkey and Diddy.
I miss a good manual too. When FFVII came out I went to the store with a friend who was purchasing it. As we headed home he was driving and we both were excitedly looking over the included manual... resulting in a bit of a fender bender. At that time we came up with the safety slogan, "Friends don't let friends see cool shit."
On that note, I'll tack on one more thing to miss. Getting home with a new game and immediately playing it. Not a couple hours of installs/updates!