Just beat the game on Normal with my 4-person local co-op crew tonight. Really epic. The thought of having to go through the entire game with each of the characters is sort of brutal.
Playing locally though, I have found out things about the save file that I'm not sure has been mentioned. Let's use my characters as an example.
I play as Laban, a dwarf. Let's say I play with my friend who uses Edie, a sorceress. We both start from the beginning of the game and we both get up to level 28. We have done story and side quests together and all is great within that realm.
If I decide to play as Edie the Sorceress, she starts from the very beginning of the game, needing to go to the adventurer's guild and doing the first dungeon again. She retains her level, her equipment, the money we shared, the side quests she had finished and the ones she was still working on.
It makes it faster to go through the game again to be so highly leveled and not having to do all the side quests again, but man. It would probably take a while, still.