Dota 2 and, earlier, Warframe. The mystique around the world the action is set in makes for curiosity and unsettling interest. Very few stories are able to preserve that feeling while satisfying the storyhearer.

So far, Warframe has failed, for they have not only announced the livinghood of the ancient nation behind most of the advanced technology in the galaxy but have also shown the nation to the player, killing the mystery with a single shot to the head. It is after that that I stopped paying any attention to the game's world.

Dota 2, however, manages to tell a character's story without either revealing much (in fact, they reveal painfully little) or making the character bland - and since most of what the players see are characters they fight as, it makes for the most impression of the game. There are also glimpses of the world itself - again, very little and far apart, but preserving the interest.

Mass Effect's, though impressive, still feels lacking in some way - mostly in size, for such a massive, even epic story. It may be that the memories have faded, but I don't remember the series for its lore.