Zelda and Dark Souls lore, because bias.
Jeez, what's the deal with people on these forums always only allowing one choice? That's cruel, man. Zelda lore then. Specifically that one of Majoras Mask, I think.
Can't think of any with an extensive lore like Elder Scrolls.
I love the Lore of many games and series.... (TES, FF, Zelda, etc.) But some of the most interesting and mysterious is easily, Demon Souls and Dark Souls.
Without a doubt, that's some of the most interesting and esoteric video game Lore.
http://www.youtube.com/watch?v=6d82kJlb5Us&list=SPWLedd0Zw3c5RCXboUsPwHsZJlXB2CzCz&index=1 (Dark Souls only, so far) is unmatched.
(the Pinwheel video alone should blow your mind)
a JRPG a bet most people here won't remember...
Skies of Arcadia
I mean, putting the Lore of the Ancient Civilizations, Moon Crystals, and the Gigas aside, we have so much that could have been elaborated on...
The Rumor of the Lost Black Moon, the legends of Daccat and how he saw the lands of all 6 moons (since ships back then would not be able to pass through Sky-rifts), all the historical events we know little about other then what we learn from finding the Discoveries and small mentions from NPCs... then we have the mysteries of many of the Hire-able crew (Like why was "Lone-Wolf Lawrence" on the Valuan most wanted list during the first visit to Sailors Isle? what could a Helmsman have done to be up on that List with Gilder The Unfettered, Centime the Tinker, Calamity Carla, one-armed Drachma, The Angel of Death, and Dyne of Blue-Storm?)
what lore we have from SoA was great, but it could have been expanded on So much (which is why its such a cult favorite, so much to learn and interpret in different ways)..
then again, this may be me putting on my pair of Nostalgia Goggles I will admit...
Man, I'd pay $200 for an HD Port of SoA... it wasn't as mass produced as it should have been... as such getting a decent conditioned copy has become impossible...
Elder Scrolls lore (for the complex mythology and detail), Myst lore (for being very unique and artistic), and Zelda lore (for being significant from a more literary standpoint, see below).
Several years ago I had actually grown apathetic about zelda lore, thinking nintendo didn't do enough to tie their games together like many other games. Having recently replayed Ocarina of Time, Majora's Mask, Twilight Princess, and Skyward Sword one after another however, I've come to realize they are far more interconnected than I ever imagined. It's not obvious like other games, but that's because the zelda games depend a lot more on common themes, motifs, and symbolism to establish in-universe connections than pretty much any other lore I can think of. It's fantastic, really.
There is a sense of continuity between each sequel. During the PS2 era, GTA3, Vice City, San Andreas, Liberty City Stories, and Vice City Stories took place in the same universe and had stories featured intersecting characters and plotlines. The current era does much the same thing, with characters from GTA IV and its expansions appearing in V.
Anyway, for me, I think it might be a tie between Shin Megami Tensei and the Souls series. SMT boasts the mythology of just about world pantheon out there. And Demon's and Dark Souls have some grim worlds that are simply ripe with mystique.
TES lore has my vote. Ever since I first played Morrowind back in the day, I've been amazeblasted of the amount and the quality of it.
Honourable mention to Warhammer 40k lore too, although it is not primarily a videogame universe.
Aren't there books?
I like Zelda lore, as well as the expanded Halo universe. TES is good, although I don't care for the metaphysical stuff by MK but I know lots of people do like it.