MMOs are a bit of a special case in how the game tells a story. Most MMOs are also RPGs, so I won't retread that ground. But one area where MMOs excel is telling the story of a world, rather than a handful of characters.
MMOs tend to have absolutely massive worlds to explore, with hundreds or thousands of non-player characters to talk to and hundreds of locations to visit. With all the effort that goes into creating this kind of world, you end up with enough lore to fill several books.
Of course, most people wouldn't actually want to read those books. Most people just don't have the interest or the attention span to read an entire history of a world, with very little to relate to in terms of personal stories. It's the same reason why most people wouldn't sit down and read a history of their own country.
