Teamwork is essential to making the most of your multiplayer runs. Since there is no healing, there are times when you or a teammate will fall between checkpoint rooms. You want to stick together for this reason: so you can resurrect your teammate (or vice versa) quickly. If you don't get to a teammate in time they will bleed out and enter the fade until the next checkpoint.
Also, you will run across a variety of treasure rooms that will require a teammates ability (think: Melee Character's Bash, or Rogue's Lockpick). These lead to treasure chests with either items or greater amounts of gold to pilfer, but they may also be guarded. Teamwork!