I have done this, but rarely, and that was years ago. None of my friends have come to my place to play a game from start to finish in one go.
Anyways, the best time i remember doing this was me being about 15 or so, and my friend had an xbox, not 360, just the plain old previous generation xbox. And one time i decided to sleep at his place. And we started playing this co-up LotR game with final fantasy-like fighting. It was good fun playing it, but we only made it 53 % trough. Can't stay up forever, you know.
But it was fun indeed. Wouldn't be that much fun these days, but doing it while being younger was fun.