It's mostly the concept of it, really, and especially playing co-op and working through puzzles together, with different classes (just having different weapons really).
There is a great co-op let's play of Hexen 1 on YouTube. That's my experience of the first game pretty much, then just a bit of playing around in it in the Doomsday engine.
But I've played pretty far into Hexen 2, which implements the same concept of puzzles and co-op, and let's not forget: fast running! But it lacks the first games classical charm. So it's just the concept that's interesting to me.
The levels in Hexen are also less linear than most might and magic levels, as some puzzles are pretty spread out. And you can teleport between levels, but no open-world, or proper RPG elements.
So that's why I say the best of MM6 + the best of Hexen = the best game ever, lol.