Really? I thought Diablo 2 was best, lore wise. Isn't that the one where they actually introduced all the major concepts? I thought that before 2, the prime evils and all that jazz was just flavor text in a manual.
Diablo 2 sure did introduce a lot of stuff. The problem is that this stuff was mostly shitty.
Diablo 1 world construction was as simple as a brick (but just as effective). Most of the stuff was implicitly assumed by player based on tone, atmosphere, environments and in the least part - dialogue.
So you had something along the lines of medieval europe, exceptions being actual working magic, more permissivensss towards scantily clad women with bows, and, of course demonic infestation in the cathedral. That's the mundane layer.
Beyond that you had mostly symmetrical, manichaeistic conflict between heaven and hell that were to be interpreted not too differently from common christian mythology unless explicitly conflicting. The differences included aforementioned symmetry, lack of actively involved central figure of monotheistic god and conflict between agents of light and darkenss spanning all creation. Everything involving this second layer could be considered unknown to all but a handful of powerful and secretive mortals allying themselves with either one of the powers, so it caused no distortion to the quasi-medieval image described before.
Then you had rare bits of specific stuff - essentially Horadrim and some demonology.
Effectively this meant that while sketchy, Diablo 1 lore could have its blanks readily filled in by player based on RL history, mythology and religion, and the result was incredibly atmospheric and worked really well in conjunction with walking around dank dungeons, killing abominable monstrosities and reading tomes of magic and forgotten lore.
Now Diablo 2 was more specific, the problem was that specifics it brought in were mostly shit and countered pretty much all the strengths of D2. Sure, there was some good stuff - Tyrael was cool, and cutscenes were pretty great - entirely consistent with what was established in D1.
What was neither great nor consistent with anything in particular was:
1. Player classes. In D1 sorcerer was basically some middle-eastern outlander, fighter fit without problems and only the rogue needed some intensive shoehorning to finally fit in.
In D2 the amount of scantily clad women incresed 2-fold without adequate reason, worse with completely inadequate reasons being present (amazons fit in how exactly?), ill fitting barbarian with unfitting lore. Only paladin and necro could be persuaded to work with reasonable amount of effort.
2. Ill fitting sociogeographical crap intorduced by ill fitting classes as their ill fitting backgrounds.
2. All overland monsters. They basically broke the masquerade. In D1 the best you can count on not in the dungeons were cloaked raiders mentioned by NPCs that might at best be suspected to be inhuman or not entirely human.
3. Mundane, non-human sapients - I'm speaking of catgirls, possibly goatmen (if confirmed to be not demons, CBA to check) and fucking ents. Sorry catgirls, but as much as I like furries, this is wrong story - now GTFO.
4. Entire act 3. It effectively broke last vestiges of implied consistency with RL medieval period, its popular depictions and christian mythology (along with popular depictions), by removing central position of the church and turning implied Vatican into some swampy Aztec shit. The diablo is now broken. Whatever you might have liked about D1, even if largely just implied, has been replaced by a kitchensink of derpy fantasy shit you don't care about, have no reason to care about and probably shouldn't admit to caring about as it would merely show that you're an idiot whith shit taste.