What comes to mind for me (in no particular order)...
- Talislanta Worldbook (Talislanta - Bard Games, 1990): This is the only Talislanta book that touches upon the whole world. Just a terrifically imagined setting.
- Midgard Worldbook (Kobold Press, various years): The most recent is probably the best, even though I'm partial to the older watercolor maps. Midgard is a nice combination of thematically constructed and kitchen sink. Meaning, it makes more sense than some of the D&D kitchen sink settings, but still has a diversity of cultures and stuff going on.
- Deities & Demigods (AD&D - TSR, 1980): A nostalgia pick. This was my favorite RPG book growing up - I think I even brought it to school in my back-pack for awhile. And of course the version with Melnibonean and Cthulhu mythos.
- Forgotten Realms Campaign Setting (D&D 3E - WotC, 2001): While the Gray Box has more Greenwoodian atmosphere, this remains--imo--the best setting book ever made. So densely packed, with a bit of everything. The whole FR "white book" series was great.
- Spherewalker Sourcebook (Everway - Rubicon, 1996): I haven't checked out the new "silver anniversary" of Everway, so maybe that would replace this. But this is just densely packed with quasi-mystical and mythological ideas.
I might re-think it later, and swap something out. Other stuff that came to mind...
Honorable Mentions:
DMG 1E - I don't know if this qualifies as lore-packed, but it is filled with Gygaxian idiosyncrasies and fun to pick up and get lost in every once in awhile;
Symbaroum - any book really, but if they had a dedicated setting book, it would jump to the top of the list, but alas, no such book exists (ditto
Forbidden Lands);
Glorantha Sourcebook - or other Glorantha setting books, but that's the one I currently own;
Wilderlands of High Fantasy - maybe not the deepest lore, but so many fun seeds that it is a fun browse;
Hyperborea 2E - Does old school right, imo;
Swords & Glory, Vol 1: Tekumel Sourcebook - for a wacky, rambling, and deeply detailed setting.
Coriolis - Fria Ligan, after all.
So many others, especially setting books, but that's what came to mind.