Story is one of my favorite aspects of any fantasy or sci-fi genre. It's what makes the audience understand what is going on. Whether it's simple, humble tales to long, epic stories of good vs. evil, you can almost guarantee that anything and everything in the genres will have a story behind them.
Some of my favorite stories (or 'Lore' to be more precise) are the background lores behind Guild Wars 2, Dungeon Siege and the Halo saga. Though they are all simple about the battle between good and evil, the universes in which they exist in are expansive and epic. What is/are the origin(s) of the main character(s)? Why do they do what they do? What happened before the story began? When and where does the story take place?
In almost any film, game or anything with a plot in it, you can guarantee there will always be some kind of 'lore' behind it.
Here are a couple of introductions for an example, both telling their own story.
As you can see, both are entirely different, but both of them explain the lore behind their respective film and game.