babark: I love a lot of games with deeply thought out lore, and I recognise how that contributes to a deeply involved world and fleshed out setting, but I don't really care about the lore itself at all.
Like with one of my most favourite games ever, Morrowind, I can navigate Balmora and the surrounding areas from memory, tell you you're a filthy swit (n'wah) and swear by the nine like the rest of them, but if you ask me to name the nine divines, I'd only be able to name one (okay, I got even this wrong, I thought Vivec was one of the nine :D).
I just find the actual details of lore to be mind-numbingly boring. Perhaps it's how I find real-world mythology to be absolutely boring as well (I don't care who popped out of whose head fully formed, or who chopped off whose penis and created the tree of life, or who Jesus's 12 disciples were or whatever) but I recognise the importance of all that in creating the world we live in- why people could randomly say "Jesus Christ!", why certain religious buildings are shaped like crosses, and certain ones have domes and minarets, etc. And I understand it is similar for world-building in games.
I don't usually read the books in these games :P. And thankfully, the games (and most games with deep lore) don't really expect me to, but they include a lot of detail for those that do, it seems, and that bleeds into making the world seem real and established.
So, as the subject line says. And in what ways do you express this care?
You have trouble with the nine, but i bet you'd have little trouble with the daedra. Now, if i'm right, you'll find one particular member of the nine to be interesting enough to look much, much deeper. The problem is, there's very little lore on the nine, outside of Talos, the Shezzarine (reincarnation of Shezzar/Shor/Lorkhan). The other 8 are pretty much bare. And if you can understand the lore of Lorkhan, then you'll find very quickly that Skyrim is way more lore intensive than people give credit: we're finally seeing the misinformation of the Altmer playing out, because the whole basis of Skyrim is about the long-standing Altmer belief that elves (especially atlmer) are demi-gods that got dethroned because of Lorkhan (who has had many mortal forms, including Talos). The split between "the elves" (ie, Altmer, as the other elves who cared all died out, and the other remaining elves don't follow this idea) and mankind has everything to do with whether the aedra (which are more numerous than the 8) were willing in the creation of the world or not. The elves believe that Lorkhan tricked their ancestors (like Akatosh/Auri El) into giving of their power to create a world, while mankind believes that the divines willingly chose to sacrifice their power. So, the Altmer feel that mankind stole their glory and thunder, and that Talos (whom most altmer and mankind are completely unaware is Lorkhan) was a major factor in dethroning them a second time. The really cool part is, the other 8 have never had a problem with Talos worship, and they even are OK with Daedra worship (the deeper you get into the Annuad [creation myth], the more you realize that this whole Aedra are good and Daedra are evil thing is completely wrong, even from a lore perspective). The actual drama of the religion adds way more interesting angles to the overall stories. The Nords (conservatives) are fighting for the rights of mankind, the elves (altmer normally represent japanese, and redguard normally represent arabs, but in this case it's clearly a metaphore for islam) are fighting for religious superiority, and the imperials (lefties) are basically pawns who're trying to get both sides to get along in the interest of peace, but side with the more powerful and more aggressive people (the elves/muslims), since it's easier and "safer" to do so since the other is less likely to fight back (christians are pacifists).
Oh, and Talos is Jesus: Lorkhan is the All-Maker (that the skaal worship), and Talos is a man form of Lorkhan who then reascended to godhood (just like trinitarian christianity). This much might be less interesting, but the sooner you see it (and all the other clues that Talos is Jesus), the easier it is to recognize the obvious smear campaign against Ulfric (and the fact that Bethesda predicted a nobody [Donald Trump] would be the next US presidential nominee), who, if you pay attention to him, is not the bloodthirsty guy that he's painted to be. It also makes it obvious when you find the anti-Talos propaganda and how it's basically non-argument fluff what Bethesda feels about the anti-religious propaganda (regardless of their religious stances). Skyrim is very metaphorical, but to understand it you have to understand the lore.
I think Oblivion tried to be more philosophical, but didn't quite pull it off: Dagon's actually a good guy. Morrowind was very obviously political and philosophical from a metaphorical perspective. The more you read the ingame lore and controversies in the main questline, the more you start to question what you've been told to believe in real life.
However, most people don't know enough of the lore to see how important religion is to the series. The religion has so many metaphores, even down to the conflicts of the various gods, as well as how one suffers for following said Gods (i think Hermeus Mora's questline was pretty self-explanatory in the Dragonborn expansion: blind lust for knowledge will entrap you and destroy you). The religion is pretty unimportant until you start seeing the subliminal messages hidden in quest plots and how they tie into the gods.