Depends what you mean by "co-op".
Any of the MP campaigns (Empire (BETA) and on) can be played cooperatively...just don't fight each other.
Shogun 2, however, had purpose-built co-op scenarios. I confess I cannot recall as I stand here whether the others have followed suit as I've never felt I needed them.
One thing to note, though, is that all the Campaign MPs, up to and including Warhammer, have struggled a bit with de-sync issues. Playing Napoleon and Warhammer campaigns in MP, though, is a gooood time.