The Elder Scrolls is probably the one I’ve had the most fun theory-crafting about, but I will admit that you have to pick and choose what to care about.

Also the old Wipeout racing games had a remarkable amount of background plot going on that was really pretty fun. The self-awareness to poke fun at Fusion’s poorly-received changes as being the in-universe result of megacorp meddling for mass market appeal gave me a good laugh, but you can piece together a surprising amount of the world from random references in team flavour text