My vote goes to Dragon age, tes, mass effect, and fallout
Fallout and TES are the ones I read about most. (So I think these are the best for me)
Star wars games like KOTOR were pretty awesome too.
EDIT- I forgot about MGS. Been a huge fan of it ever since MGS1 which I played to death on my PSX. The lore of it all is awesometastic.
Fallout, MGS, Witcher, Half Life (includes portal because its in same universe), and last of us seemed quite interesting.
I'm slapping Bioshock Infinite here, listening to all the voxophones and the mini-movie projectors you get a lot background information on Columbia.
Demon's Souls and Dark Souls. They mold such fantastical worlds filled with so much horror, mystery, and intrigue. There are so many hints, clues, and implications littered around that just discovering how they all fit together should be a game in and of itself. There's so much you don't know about the worlds of the Souls games, from the mystical, mundane, and historical elements of them...and that just compels you to dive deeper in.
Shin Megami Tensei. It takes elements from most every mythological and religious pantheon in the world, mashes them all together in an epic crossover, showcases the eerily-similar concepts and archetypes that they illustrate, and creates something that's just all around cool and unnerving at the same time.
Suikoden. The cool thing about this series is that every game is effectively meant to to illustrate a massive historical event that alters the political geoscape of the world. There are supernatural elements too with the 26 True Runes, but while whey are very important and are at the heart of every conflict in the series, they're also played subtly and in a low-key manner, which makes them seem even more magical.
The first three Thief games have some pretty splendid and subtle lore. Efforts have been made to map the city, and a comprehensive study of the three factions yields deep results. And yet, this is not a series that is too pushy with its Lore which is an added bonus.
Can't yet speak for the new one.