I do love the lore of the "Elder Scrolls" as well as the lore of Forgotten Realms(a lot of games like Baldurs Gate and Neverwinter Nights take place there).
The Elder Scrolls lore though..if you read some of the books it just showcases how utterly horrifying the universe could potentially be. You have this story about this guy who wants to impress a girl so he decides to have a mage teach him a bunch of "Increase" spells. Like spells that increase strength and endurance and all that, these spells exist in the game too. So it describes what he does with these spells, like the endurance spell lets him easily be engulfed in flames.
But then he does the "increase intelligence" spell and..he comes up with a math equation that literally erases someone from existence lol. He just literally wrote out an equation about some guy and said "this shows you don't truly exist" and then the guy just blinked out of existence. Remember this was not some master mage, it was an ordinary guy who asked a mage to teach him a few spells. I'm not sure how this universe hasn't been utterly destroyed by some douche who was super good at math.
Witcher, though that's kind of cheating perhaps because it's based on a long established series of novels. But the backstory and history of the world is exceptionally deep. For my birthday my gf bought me the World of the Witcher book which goes deep into the lore and it was such a cool read.
Also love Mass Effect's lore and backstory. It's a lot more in depth than casual play would lead one to believe. Reading the stories and lore of each individual planet in the game can be a lot of fun and really rewarding.
Warcraft's lore can be very good, too, though it feels kind of like a mishmash of various other famous pieces of literature, a bit of Lovecraft, some Lord of the Rings, some sci fi elements, but it still feels unique and has its own flavor.
Dragon Age also seems really good but I'm not as familiar with that one as the others listed. Some of the Final Fantasy games have good lore to go along with them too. FFXIV's is very good.
I would have said Elder Scrolls, and Dragon Age, but since playing the Witcher 3, I've changed my mind. The game in my opinion is light years ahead of any other game that I've played, and I've played many. The Witcher 3 seemed to take pieces of many great games to combine them into one awesome one. Playing it reminded me of Fable, Elder Scrolls, Dragon Age, Force Unleashed, Batman (Arkham series), Balder's Gate, Diablo, and Uncharted. Epic game, which makes me scratch my head as to why it took me so long to finally get it.