World of Warcraft Mists of Pandaria: there are stone monument dotted across Pandaria that you can walk up to and interact with, and it will read "this monument is dedicated to this monk, who taught us during the Mogu occupation how to fight with our bare hands since our weapons were taken away" or "this monument is dedicated to the rebels who rapelled down the mountain on the day of the rebellion against the Mogu and destroyed their robot factory before it could be used against us" or "this monument remember this freespirited guy Liu Lang who sailed away on his pet turtle Shen-Zin-Su, never to be seen again.".
Trails series: each chapter you can buy this week's newspapers from any general store and read it. It tells you about what is happening offscreen on the other side of the country or major events happening in other countries at the moment, what is going on the government, upcoming festivals, interviews with characters like politicans or CEOs, announcements about major technological breakthroughs, etc. There are also sometimes non-fiction books to read like Nielsien's commentary on the annexation of North Ambria. The series is also famous for how every NPC's dialogue updates throughout the game and has storylines to follow and reacting to plot events, making the world feel alive, though usually only convey what is going on in the present, like present issues and groups. They typically do not talk about stuff that happened more than 10 years ago past the Hundred Day War.
Elder Scrolls: has lots of books, not just fiction/short stories but also nonfiction like books talking about how magic works or histories.
Pokemon and Trails have museums in a couple games where you walk up to plaques and read things such as "these are water samples collected from different regions, comparing salinity" or "this mysterious smooth stone was unearthed from these ruins. Its purpose has not been identified" or "this is a model of a new luxury airship produced by the Reinford company".
Certain MMOs have festivals that are not blatant copies of American holidays like Christmas and Halloween, and the NPCs that host them convey a little bit of lore about how the festival got started (or shows what that country cares about).
- Final Fantasy XI has the Feast of Swords carried over from the Far East where boys get a wooden kendo sword and go beat up "brigands" in samurai armor.
- Final Fantasy XIV has Little Ladies' Day, where maidens are treated as a princess for a day, and you find out how the event was started by this noble family in Ul'dah.
FF14 also has The Rising, which is a remembrance day celebrating when Eorzea was devastated by a calamity. - Guild Wars 2 has the Dragon Bash festival, which celebrates when Elder Dragons devastated the land and their demise, where you go beat up effigies of dragons and sing songs about killing dragons.
- Genshin Impact has the Fontinalia Festival, celebrating when the lochknights found the Hydro Archon.
- Star Citizen has an annual celebration of the founding of the UEE, where a navy Javelin capital ship docks at space stations and the general public can board it get a tour of some of the insides, where crewmen NPC give some history or explain what this and that station is for. SC also has an annual spaceship show event where you go to a convention center on ArcCorp and look and sit in all of the fancy spaceships parked there, and get to learn about the history of those ships and their manufacturers.
You do not often see fantasy festivals as involved in singleplayer RPGs. The Trails series has had some festivals (Queen Alicia's 60th birthday celebration in Liberl, Erebonia summer festival that has horse racing, Thors academy festival, Revolution Day Celebration Calvard, Aramis school festival. Tharbad has an established film festival with Messeldam trying trying to start their own up to drive their economy, and they are trying to clamp down on crime to look like good hosts).
