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 they have too deep lore/setting.
My friend Jorge just gifted me for my birthday the recently released Book of Cain, which extends Diablo 3 lore by representing all the notes that Deckard Cain wrote and gathered 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 also providing the base of all the scenarios you will visit in the games, alongside all the characters, monsters, demons...
It is nicely presented, as if it were an old book, with side notes, remarks and really well done hand drawings of places, characters, sigils and monsters (the best part).
Around 2/3 of the book are about the eras before the first Diablo videogame, with all the angels and demons presented and detailed, so you definitely extend the game lore by reading the book (and then probably replaying the games).
While not too deep, if you liked the games (specially Diablo 2 and 3) you will enjoy the Eternal Conflict tales.