Books are wonderful, but as I said... you'd pretty much want to make them optional information only if you can avoid it (unless the book is part of needed quest clue in-game, but that's kind of a seperate thing).

Bards (as in mummers, jongleurs, minstrels... that sense of the word bard as opposed to the D&D class) are interesting in this use as they can relate tales in-game in a realistic fashion.

We can also arrange to have certain quests you encounter early on be related to key elements of the world that need to be introduced. So let's say I need to bring into play the religious elements of the setting, right? Well, let's have a religious figure play an important element in the early plot and during the discussion the religious background is revealed to the player. Giving player responses that, by their very nature, inform the player while not making their character seem ignorant is also a good way to go. Such as:

religious figure: Of course this trouble with the X faction is nothing new, as I'm certain you're aware.

player response #1: They've fought your church many times, I understand.
player response #2: Perhaps you should stop persecuting them. Just a thought.
player response #3: Maybe if you declared another holy war, you'd wipe them out this time.

Now, this is not from the game (just so you know), but here you can see that even before you select a response, the very nature of those responses have already told you several key things about faction X, right?

You can't rely on that solely, of course, and you need to be careful not to ask the player to make judgement calls on things he knows nothing about (my example would be bad unless you had at least some knowledge of faction X on which to judge the church's treatment of them) but it's a good tool to reinforce info with. And, naturally, you need to make the story such that it doesn't make it obvious that you're guiding the player through a history lesson. Heh​