I'm always impressed at the crazy settings Monolith comes up for these games. First it's on two gigantic dead titans who fought in the past, then these huge living creatures that move through a cloud sea, and then a weird mix of the two. Like... man, that's awesome.-Xenoblade (without hyperbole, this might be one of the most bonkers settings I've ever seen. EVER.)
OT
Metroid: Alien worlds are already pretty neat, and the ones you explore in these games really sell themselves to you. The gameplay only makes it better, and the amount of info you can find in the Prime games builds into a very unique and interesting sci-fi universe.
Monster Hunter: There's a decent bit of hidden lore in these games, and each new location either brings in new stuff or hints at existing world lore. It's all rather fascinating, especially with the kinds of creatures and monsters that live on the planet Monster Hunter is based on.
Spectrobes: While these games definitely were a little thin in world lore/history, I couldn't help but find myself kinda enthralled by the planets you explore. The really good music for each planet helped set each one apart. I also just like the whole setting behind Spectrobes (that being the Nanairo system, among a few other planetary systems in the latter games). It was a great little game series for a younger me to get into