My advice is to start off very slowly. Most players eyes gloss over if you start with a lore dump. You have to hook them in first.

I usually do the simple thing where they all found their way into a town, all needed a bunk for the night so are in the same tavern (don't need to mess with a classic and they chuckle about it every time). I drop a fun character I know they'll want to protect (I usually play with the same group so I've gotten used to knowing what they'll go for). And to wrap it, I drop a fight right in the middle of the tavern.

Usually that leads to questions like "Who are these people?" and "Why are they attacking others" and "Does the barkeep have a copy of The Lusty Argonian Maid I can claim as reward for saving his place?"

From there you drip info. This guy heard that rumor, that lady heard this thing, on there way to investigate one of them this other person tells them something new, and so on.

Edit: oh, forgot to add. The quickest way to buy in is let them create part of the world. Name the village their character is from, let them weigh in on what an NPC might be thinking about, etc.