Hint: Bunch up your players into one large group and kill your enemies in one fell swoop.
Hint: Make sure the right guy picks up the right power-up. It would be useless for a guy with a crossbow to pick up bullets; he wouldn't be able to use them.
Hint: Blow up barrels to find hidden items.
Hint: Invest in guns and ammo early on so you can take out enemies more easily.