Over the last few days I've played Trine 2 with a friend over a private hosted online game. It has worked very well. I've not tried the same with Trine 1 yet, but the menu look identical, so I assume that will work too. He has the steam version, but it still worked. Just make sure the firewall doesn't block things, as that was initially a problem when we set it up.
Playing like this was great fun btw, and being able to help each other out over tricky terrain is excellent. For example, the wizard holds up a plank, and the other person jumps on it and over some nasty traps. Then switch around characters (this works because we are only 2, with obviously 3 available characters).