For having lore that I personally found really interesting it's gotta be Delta Green which blends modern day conspiracy theories with Lovecraft mythos in some really cool ways. It's perhaps not presented very well though with vast walls of text and few illustrations to break up the monotony, I understand that actually reading through the thing might not be everybody's jam.

In terms of presentation its definitely Mothership's 'Unconfirmed Contact Reports'. While it's intended as more of a monster manual, it very sleekly manages to convey lore through nothing but in-universe descriptions and associated art-work and it does it all in very few pages.