I like having some out-of-game lore. There are certainly some powerful scenes in-game that have resonated with players (such as Bolvar clearing the Throne Room of dragons), but most of the stuff in the books just feels "deeper." The in-game system is limited without a lot of text that people don't want to read or lots of cutscenes that require voice acting and such. (Then again, I LOVE all the interactive cutscenes in SWTOR.)
I enjoy the out-of-game stuff, but even though it's canon it often feels unacknowledged in-game. It's a two-edged sword. I think it'd be nice if stuff that happened out-of-game had an in-game element. Quest, cut-scene, limited-time event, something. That would help it be a real part of wowgold the game and world, but the real depth could come from the books. Also, said in-game stuff should be added sometime after the books/whatever.
Recently, I went through Teldrassil as a lowbie druid and noted down all the NPCs in particular areas as well as the quests they assigned you (with additionally some notes from NPCs you don't interact with but buy wow accounts have interesting things to say). Suffice it to say I find that a much more enjoyable way to discovering lore and story than reading short stories, novels, or even reading wowpedia or wowwiki (rarely). When you learn yourself through the game you actually grow with the story, and you feel like to are uncovering the secret drama that everyone else leveling around you seems to have ignored.
I don't think I'll ever play WoW the same way again (click on quest-giver; auto-accept, repeat ad. infinitum). There's just so many interesting micro-stories going on in the background. I used to think that quest givers had boring text, but that was before I actually READ it.