What a lot of new players don't know about XI is that there used to be a ton of lore on the official site. Like, absolute buttloads. I believe a lot of it has been removed, though, which is unfortunate because there's a lot of world building in that lore that SE continually updated when the game was in its prime.
For example, there's one very, very important character in SoA that actually has his diary on the SoA website that explains who he is, who his role is, what his political alignment is, and his current opinions of the politics of his country are. It also shows his decaying mental state as the expansion progresses. This one should still be up, at least.
Fortunately, you can still find it on the wiki. For example:
http://ffxiclopedia.wikia.com/wiki/G...l_War,_Vol._II
One of my absolute favorite lore tidbits is from one of these excerpts and is about the Hydra Corps (and shows you how absolutely terrifying Dynamis is, in case the game didn't make it clear enough):
http://ffxiclopedia.wikia.com/wiki/L...From_the_Hydra
"...maybe ten days have passed. I still have no idea of where I am. The area appears to be Beaucedine Glacier, but I see no sign of the allied forces. Neither day nor night has dominion here. There is no sense of time passing at all...
"We were fighting with the Kindred when a sudden darkness engulfed us... When I came to my senses I saw the sprawled forms of the other Hydra members, as well as those of our opponents. It seems our enemies were just as surprised as we were. In any case, our battles with them continue. We do not intend to fall in this place..."
Excerpt from undelivered letter dated 9/10/867 CE
"My dearest ****,
This may be my last letter to you. I have continued my correspondence in the hopes of retaining the gift of words, and some sense of time. But there is no escape from this hell. This realm stands apart from Vana'diel. It is a prison. There are those among the Hydra who have begun to think the world was destroyed as we lay unconscious, and this shade of reality is all that remains.
"Our battle has been never-ending. All for the brief flowerings of scarlet color on the endless fields of snow... Most of my companions have lost their grip on sanity, and pursue our enemies with a dull single-mindedness. Why do they fight? Why bother to spill each other's blood anymore? I am losing the will to care the longer I stay here...
"I don't want to become like them. I don't want to forget you. That is why I have decided to entrust my spirit to Mandau. If gentle Altana has any presence here, then surely she will see my letter delivered to you. I will not say goodbye. We will meet again one day, I swear it…"
The isolated realm spoken of in the letters must surely be the place adventurers know as "Dynamis." There are many who claim to have been attacked in that land by soldiers resembling the members of the Hydra Corps. These attackers supposedly have eyes that have lost the light of hope...
We pray that the efforts of adventurers will allow the spirits of these poor wretches to return to Altana's embrace.
Either way, yes, it gets better with CoP and ToAU. WotG andSoA basically have the same storytelling method as FFXIV, except with longer cutscenes. The basic FFXI story is pretty dry until you hit Rank 6. Even Zilart is relatively dry because it was the first expansion and it was more focused on the act of physically expanding the world and lore rather than telling a story. It was telling a story of lore, rather than a story to entertain you. Don't do Rhapsodies yet, you have about 5 expansions of story to go through before you'll even know all the characters.
Edit: Ah, here's some of it!
http://www.playonline.com/ff11eu/gui...ber/index.html