My favourite small bit of lore is that Eorzea doesn't have printing presses, instead they use mammets to physically write copies.
My favourite big lore was probably finding out stuff about the dead civilizations in Ultima Thule. It reminds me of a game setting I sort of half fleshed out as a bit of a fun writing exercise.
Favourite character is probably Alphinaud. He really grew on me in Heavensward, and hasn't done anything to diminish his standing since. Pretty close with Thancred and Urianger though, those guys are great too.