I've been playing a lot Diablo 3 lately (up to the point that now I need to slow down before I burnout my desire to keep playing), and although I really like the Diablo series, I don't think the have deep settings.
My friend Jorge just gifted me for my birthday the just published Book of Cain,  which extends Diablo 3's lore by representing all the notes that Deckard Cain united and wrote during his years of research.
The truth is that you cannot make something brilliant if it isn't. The book indeed extends the lore a lot, not only linking the three videogames, but providing the base of all the scenarios you visit in the series, all the characters, monsters, demons...
It is nicely presened, as if it were an old book, with sidenotes, remarks and (the best part, IMO) really well done hand drawings of places, characters, sigils and monsters.
Around 2/3 of the book is about the eras before the first Diablo videogame, all the angels and demons presented and detailed, so you definetly extend the game lore by reading the book (and then probably replaying the games).
While not too deep or impressive, if you liked the games (specially Diablo 2 and 3) you will enjoy all the Eternal Conflict tales.