I think some form of Codex system would be pretty awesome! Every time you enter a new area or interact with a new NPC or hear a new key term, a Codex Entry unlocks for that subject and gives a fair bit of background intel, or at least anything that doesn't spoil the story up to the point the player is playing through, with updates to said Codex as the player progresses further.

As someone who RPs as a proud native son of Ul'dah (technically born in Camp Bluefog, but it's still land controlled by Ul'dah), I would love to know more about the various elements. The Sultana, The Syndicate, The Immortal Flames and how they were founded, etc., because I feel that, to my character, that would all be common knowledge.