I like lore a lot, it's the cornerstone of my GMing (and one of the primary causes of it too), a lot of the positive feedback I get is that it feels like everything in my world goes deep, like if they question something, there's a good reason and set of connections that underlie it. Similarly, I really value exploration conceptually-- I like secrets and uncovering mysteries tucked into the game world and setting material. I like the idea that my players can trust that they can ask questions authentically, confident that there will be an interesting answer for them.