Killzone's lore is really interesting in my opinion. Problem is the games only show you slices of it but never delve on the bigger picture because they have always gone for the perspective of just another squad in a larger war. I really like that perspective but it has the side reaction of making people think there isn't anything more.
Personally I would love to see say a 10 minute or so introduction for Shadow Fall that briefly covers the timeframe from our current present day to the games present day and/or a longer video in the menus you can watch if you want. Because lets face it, most gamers don't want to read something just to understand the lore.
Halo has kinda the same problem. Rich world, but you won't see that in the games (outside delving a bit deeper, some Halos have Terminals which tell a bit more about the world).
Halo 2 had most exposition... and it got kind of negative reception so we got very watered down story in Halo 3.
Me, i find (good, well told) story and worldbuilding important in games. If you don't have that, i don't care (and it needs to be.. different as well, Dragon Age for example sucks when it comes to worldbuilding).
A game needs more than good gameplay, it needs a soul, and that soul comes from worldbuilding and story.
EDIT video telling the backround would be great, especially for newcomers like me.