The majority of thin film studies that were devoted to Fe-oxyarsenides has focused so far on F-substituted (i.e. indirectly electron doped) LnOFeAs (Ln = La, Nd, Sm). Here we turn our attention towards Co-substituted (i.e. directly electron doped) LaOFeAs and SmOFeAs in order to investigate its growth on different substrate materials by using pulsed laser deposition (PLD). We detected dominant LnOFeAs phase formation and discuss the occurrence of minor impurity phases in the different films on different substrates. The lack of a superconducting transition in LnOFe0.85Co0.15As films on MgO(100) could be due to strain, since we observe an onset of superconductivity in SmOFe1-xCoxAs (x = 0.07, 0.15) films on other oxide substrates. In addition, Co-substitution (i.e. within the Fe2As2 layers) and F-substitution (i.e. within the Ln 2O2 layers) leading to direct and indirect electron doping respectively, appears for films deposited on CaF2 substrates. In contrast to the F-substituted but Co-free Fe-oxyarsenides, the co-doped SmO1-xFxFe0.85Co0.15As film has experimentally accessible upper critical fields down to the lowest temperatures and may serve as an ideal test bed for further theoretical modeling of Fe-oxyarsenides.