Thermal unfolding (or folding) in many proteins occurs in an apparent two-state manner, suggesting that only two states, unfolded and folded, are populated. At the melting temperature, Tm, the two states coexist. Using lattice models with side chains we show that individual residues become structured at temperatures that deviate from Tm, which implies that partially folded conformations make substantial contribution to thermodynamic properties of two-state proteins. We also find that the folding cooperativity for a given residue is linked to its accessible surface area. These results are consistent with the experiments on GCN4-like zipper peptide, which showed that local melting temperatures differ from Tm. Analysis of thermal unfolding of six proteins shows that deltaT/Tm approximately N(-1), where deltaT is the transition width and N is the number of residues. This scaling allows us to conclude that, when corrected for finite size effects, folding cooperativity can be captured using coarse grained models.