The Mincraft console edition for XBox 360 has split screen play. It may be a bit challenging for a four-year-old but it will definitely be something both kids could grow with.
In Never Alone one person controls Nuna (the protagonist) and the other player controls the Fox. Players can swap characters and switch to single player seamlessly.
I chose Rayman Origins and my kids seem to like it a lot (mostly because of the numerous characters you can unlock and use during the game).
A friend of mine, owner of a PS4, showed me Never Alone. I believe it’s a lovely game but I think it’s too difficult and tricky for my kids (they never played a 2D platform before Rayman Origins!).
In the course of my search I found www.co-optimus.com. It’s a good source if you look for co-op games.
I’ll update you when they’ll get bored by the Ubisoft IP (I think it’s gonna be very soon…) and will ask for something new.