Definitely the Souls/Borne/Ring games. Elden Ring had a fantastic amount of lore woven into the game.
Is it the quality of the lore, or the way it's told?
Either one. I like how I discover things such as the tape recordings in the Arkham games and listening to every one of them for the background info on the characters.
And one of the nice touches is that sometimes the histories would conflict between the different the cities and races. For instance, the dark elves were the mortal enemies of the wood and high elves. And there were stories about how a dark God kidnapped the first elvish royal family and corrupted them creating the line of evil dark elves. However, the dark elves had an entirely different history of how they came to be where they were victimized by the other elves and forced to live underground.
It was the little things like that that even reflect how histories are written in the real world. No one's the bad guy in their own story right?
But if you're not familiar with it, the game takes place with a mysterious government agency, similar to The X-Files or Men in Black, that's under attack by a mysterious entity. And they built an extremely rich history of this organization through paperwork, video clips, employee stories, and even clips from old conspiracy radio programs.
Side note, if you're interested those radio clips are inspired from a show that ran a couple decades ago called AM Coast to Coast, hosted by Art Bell. It aired very late night nationwide, and even around the world, and they would discuss anything from government conspiracies to local Legends and folklore. The crowd was definitely on the nutty side, and even the host leaned that direction although he provided some healthy skepticism when it was needed. But he was always open-minded enough to listen to people and that made the show pretty cool. If you're interested, old recordings of it are available on Spotify and other streaming platforms.
Clearly the only correct answer is Sonic. If this site's news is to be believed, Sega is evening hiring someone just to keep the lore in check. 
I fear I have little else to add here. I don't usually play games with a lot of lore. I do enjoy good worldbuilding though.
Stardew Valley.
Abigail being the wizard's daughter, Ferngill Republic being at war with the Gotoro Empire, religion of Yoba, ConcernedApe putting his alcoholic friend into the game, Marnie sleeping with the mayor, ability to turn your unwanted childrens into doves, dwarves being at war with the shadow people, and lots more. A surprising amount of stuff that just kind of gets glossed over or mentioned off-hand, that keeps getting deeper and deeper the more you dig into it.
Just check the videos on YouTube about the trilogy.
How it's told? Metroid, especially Metroid Prime 1 and 2. Less so 3.
The quality of the lore? Eh, I guess Mass Effect's like setting is cool? There are events in that codex that make me want to be like "oh id play a game in that time frame". Which isn't how I feel about say Souls lore shit.
robio said:In a more recent example, the lore in Control is outstanding. The games contemporary setting makes its lower that much more relatable as well. The history of the organization you work for only goes back 75 or 80 years. So when you find paperwork or hear a story about previous leadership, you can kind of understand how the previous generation would have reacted in some instances since that's really our parents' or grandparents generation.
But if you're not familiar with it, the game takes place with a mysterious government agency, similar to The X-Files or Men in Black, that's under attack by a mysterious entity. And they built an extremely rich history of this organization through paperwork, video clips, employee stories, and even clips from old conspiracy radio programs.
Side note, if you're interested those radio clips are inspired from a show that ran a couple decades ago called AM Coast to Coast, hosted by Art Bell. It aired very late night nationwide, and even around the world, and they would discuss anything from government conspiracies to local Legends and folklore. The crowd was definitely on the nutty side, and even the host leaned that direction although he provided some healthy skepticism when it was needed. But he was always open-minded enough to listen to people and that made the show pretty cool. If you're interested, old recordings of it are available on Spotify and other streaming platforms.
Excellent choice, yeah that's a big part of what I loved about that game.
Horizon is my choice, the history they created for that game is incredible. The events of the past could make for one of the most amazing sci fi shows or movies (and apparently that's what they are doing). I love how in that game you slowly piece together what happened to our civilization while learning about the current tribes. It's some of the best world building in video games.
I like the Stalker lore, in terms of depth and interest.
https://en.wikipedia.org/wiki/S.T.A.L.K.E.R.
It got me to read on the books -- so that's pretty good for a fiction neophyte like myself.
I was really, really into Shadow Hearts lore as well:
https://en.wikipedia.org/wiki/Shadow_Hearts
Special mention to Warhammer anything!
I've been addicted to the Arkham games lately and one thing that they all do incredibly well is provide the lore of Gotham and all of its characters. I realize it may be a little bit of a cheat since the developers had about sixty years of comics to pull from. It's so rich and just chockful of interesting information and really immerses me into that universe. Its often given to you seamlessly through a variety of different ways such as recordings, scanning and taking pictures or even overhearing conversations. I often find myself going down a rabbit hole to learn even more while skipping the main missions for hours.