Galaxy Guide 9 for the Star Wars RPG by West End Games probably tops the list for me. It’s got popular music, cocktails, gadgets, and a ton of information on what life is like under the empire. The Galaxy Guides are all pretty damn good, but 9 is th best.
Honorable mentions:
4e’s Player Options: Heroes of The Feywild. Explores the Feywild as a setting, including locations, characters, factions and powers, with fun “Bard’s Tale” sidebars that present legends and fairy tales related to the info being presented.
And, it has a chapter on building a backstory using skill tests and “choose your own adventure” style storytelling. I just used it to make my Half-elf Fey-lock for an upcoming CoS game, and it worked just as well for 5e as it did for 4e, barring the couple of instances where a skill doesn’t exist anymore. Generally pretty easy to figure out though. Thevery=thieves tools or slieght of hand, heal=medicine, etc.
Cubicle 7’s The One Ring is probably the most gorgeous RPG book I’ve ever seen, and the matching of mechanics to lore is perfect, without feeling restrictive. Especially the second edition with better organization and improved index.
4e’s Shadowfel: Gloomwrought and Beyond is a beautifully done adventure book thAt also serves as a setting book for the Shadowfel. If only the Heroes of Shadow book had matched it.