Played this with three friends last night.
Mindblowing.
We like Advanced difficulty the best, it feels rewarding without being utterly impossible. Expert is still fun, but Advanced just feels like "story mode" and expert is more like an individual challenge in itself. We tried to beat the second map on expert and it took us six tries, and on the sixth we got all the way to the minigun and the witch was there, meaning you HAD to startle her. We tried a strategy to beat her and, um, it didn't work, and the witch is basically a OHK on expert
It's really fun to develop strategies and ways to approach the levels--at the beginning of the first map, me and a buddy would drop down the glass ceiling portion while our two friends went down the steps and we absolutely flanked them. Another time we were fighting against a tank in the subways and decided to close ourselves into two identical rooms, two to a room, and shoot outside the window at the tank. It was hilarious, he couldn't get in.
It's really fun to close people out of the saferoom and see how many tries it takes them to get in. There were a few times where I ran to the safe room and my buddies stayed back to fight a tank, so I stole everyone's health and wouldn't let them in.
I only play as Bill, by the way.
EDIT - I also hear playing as a hunter is CRAZY FUN. I play the Spy in TF2, so this'll be great.