We present the results of mechanical characterizations of many different high-quality optical coatings made of ion-beam-sputtered titania-doped tantala and silica, developed originally for interferometric gravitational-wave detectors. Our data show that in multi-layer stacks (like high-reflection Bragg mirrors, for example) the measured coating dissipation is systematically higher than the expectation and is correlated with the stress condition in the sample. This has a particular relevance for the noise budget of current advanced gravitational-wave interferometers, and, more generally, for any experiment involving thermal-noise limited optical cavities.