Midgard World Book/Campaign Setting: I begrudgingly bought the newer World Book, as I'd already run some enjoyable campaigns with the earlier Campaign Setting book. While I miss the quality AGE appendix in the Campaign Setting book, I do find the newer World Book to be the better. I've run campaigns with True20, AGE, D&D5e and 13th Age and always found those books to helpful , rich for lore and enjoyable to read.
Exploring Eberron; Of the 5 Eberron setting books I own, this is the best for lore. No surprise as it's authored and published by Keith Baker - original setting creator.
Glorantha Sourcebook: I'm still digging into this book, but I've been impressed.
The 5 Battletech House Books; there as much or source books for the tabletop miniatures game, but they have terrific lore for a tabletop RPG. Whether or not your running with the official A Time of War RPG, or adapting to another one.
Threats to the Nentir Vale: It's a bestiary for the D&D 4e Nentir Vale/Points of Light setting, but it does so much more than that. I really like how it gives a page or 2 to some family of beasts and for some NPC factions. It's done well enough, that I was able to homebrew some successful adventures by just hooking into that lore.
The One Ring 1e and Adventures in Middle Earth source books: I really feel that Cubicle 7 nailed the lore for Tolkien's ME. I've spent hours reading through the lore in them and never regretted buying them.