There's way too many games I can list lore as an appeal element, so I'm going to put forward a no. of contenders that stem from personal experience:
*Best written: Mass Effect. Granted, only played the first game, but it's perhaps the best case of providing a player with lore I've ever encountered that doesn't bog down anything. In the scope of just one game, I felt like I'd seen an entire universe, or at the least, was aware of that universe definitively existing.
*Best expressed in game: Mass Effect (see above).
*Most interesting: This is very hard to answer, believe it or not. Thing is, I write and edit wikis as hobbies, so even the most assinine pieces of lore can become interesting to me if I put the effort into them. As such, I'm going to skip this.
*Most robust: Warcraft. I'm associating robust with scope here. And in terms of sheer volume, of games I can claim familiarity with, I have to give the robustness of setting to Warcraft.
And some honourable mentions:
*Command and Conquer (Tiberian setting, by virtue of how its setting develops over time)
*Diablo (it would never qualify for top spot, but credit where credit is due, the setting is pretty fleshed out)
*Dragon Age (only going by wiki stuff, but gets points for level of detail)
*Fallout (as above)
*Gears of War (only if you factor in EU material)
*Golden Sun (for various reasons, a close runner-up to Mass Effect in regards to how its world is presented)
*Halo (through EU material, but credit where credit is due, the nature of its setting has always been well defined, if not its scope within the games)
*StarCraft (in terms of lore, I'd call SC "jack of all trades, master of none," but at the end of the day, I think it deserves a place within the honourable mentions)
The brownie points, mainly in regards to what other people have mentioned:
*Dead Space (pretty interesting setting, but not as fleshed out as some others)
*Destiny (under the caveat that the lore by itself has some interest, only that by no way does this qualify for any kind of honourable mention due to its (lack of) presentation)
*Killzone (while it has a fleshed out backstory that goes beyond the games themselves that offers plenty of intricacies, it's not quite enough for me to give it an honorable mention)
*League of Legends (for the sole sake of brownie points in that it's the only ARTS I've ever come across where the designers actually tried to give it a consistent world. But again, brownie points only)
*Legend of Zelda (I can't really give this credit for lore/setting, given how it changes across virtually every game. This isn't a bad thing, but while LoZ definately has a charm and distinct feel, I can't say the lore in of itself is enough for me to rank it highly)
*Metal Gear (very fleshed out, but I'd say the fleshing out stems more from story rather than setting, as in, the setting never becomes distinct until MGSIV, whereas otherwise, it's all very much in the real world. If this was a question of "best story" the Metal Gear series would be listed in a heartbeat for me, but as far as lore goes, doesn't quite make the cut).
And to be contrarian:
*Metroid (having just subjected myself to the misery of 'Hunters', I'll have to say, "no." Of the Metroid games I've played, it's a rare case of the gameplay being THE selling point for me, with all other factors being secondary, and even that's only been limited to a select few games)