I have been thinking about this for a few days now since getting back into Skyrim as I find the lore of the game and the series itself to be awe-inspiring in a way due to the sheer breadth of it all, and how in depth it can go depending on the topic. I am curious to see what others think on this topic, and their favorite instances of lore and world-building in video games a whole.
I love the lore of Mass Effect, the Reapers, the Mass Effect gates, the fact that discovering that Charon was a gate led to First Contact. I even love the initial threads of lore laid out in ME: Andromeda, because I think there was a foundation for something really interesting (which we may never see at this point).
Zelda has great lore, especially if you obsess over timelines as I often do. I am hoping BotW 2 delivers some solid new developments for the world of Hyrule.
Hollow Knight and the Souls Series in general are good calls to that, indeed. There are also a few games with relatively straightforward plots, but a very ambiguous lore that foments interesting discussions, like the Dragon Age series.
I kinda have a weak spot for cheesy worldbuilding, when they take overused concepts and make something fun with it, like Darksiders and Devil May Cry do with the “Angels vs Demons” stuff.
On the other hand, there are cases where the game does an interesting spin on these overused concepts. I think Pillars of Eternity is a great example of a very unique world built on top of a very traditional fantasy setting, which is a cool contrast with the gameplay, that mostly tries to simulate an old-school style of cRPG.