The lore of .hack is incredibly interesting. There was some really weird sentient A.I. stuff going on in The World, and the crossover to the off-line stuff was great, especially in .hack//sign.
I haven't played any of the games, but I've read some of the novels (AIBuster, Another Birth), seen SIGN and Legend of Twilight's Bracelet (and read the LoTB manga, which is considered the canon version of the story) and read a little bit of the ROOTS manga.
There's been talk of actually making a real .hack MMO based on The World. I imagine they'd incorporate some creepy ARG stuff into it, which would be pretty cool.