You can write the most gripping and detailed setting document you want. You can record yourself singing ancient epics of your land. You can patiently sit your players down and tell them about the world. Yet you are still guaranteed to find that, at least a few times, there are players who just don't want to hear it or read it. These people aren't malicious and they aren't stupid, they simply don't find any joy in reading setting material that is unrelated to their own experiences. They may be a bane to your existence or you may in fact be one of them. The thing is, anyone can have this experience at any time.
I used to write very long setting documents. Rambling mythologies, I would take my players on long walks around my highschool campus and describe in gory detail the relationships of the gods and the world, how magic worked, and all that jazz. People who didn't pay attention I singled out as troublemakers, paying close attention to them and making sure I gave them more material to absorb on the theory that if they were paying attention less and I threw them more, at least some of it might stick.
And then I played Oblivion. The opening scene started and I watched it unfold, ready to embark on whatever the gameworld had for me. There were myriad reasons why I disliked it, but the first and most simple was this: There was too much exposition. I sat there not caring why Patrick Stewart was Emperor Uriel Septim. I didn't want to learn about dragons and kings, I was ready to play the game and figure that out as I went. I had made a character without knowing anything about the setting, so why couldn't I just go forward and feel out the game? I didn't want to be bombarded with information before I began!
Then I suddenly realized this was exactly how anyone who ever got bored at my "world-lectures" must have felt. This was how anyone who had never read Lord of the Rings and just walked in on a detailed conversation about it must feel. I knew then that there had to be a better way.
And there is! It's actually the standard D&D way, which isn't to design a hugely intricate world and then force your players to educate themselves about it. It's to make a few small towns surrounded by wilderness with only a vague indication of what's off in the distance. The simple questions they have can be answered before they start without shoving setting material down their throat; they can, as it were, ease into the setting, learning more about it as they begin to care more about it.
I've found that a combination of the lecture-mode and small-design-mode works beset. For there are players who will read detailed synopsis of history, culture, and architecture... and there are players who will not. The players who don't want to are not idiots, they are not lazy, they simply prefer to have their information served up in media res so they can absorb it as they go. I started reading the Dragonriders of Pern in the middle of the series when I was twelve and I thought it was amazing that Anne McCaffery didn't pause to explain anything, just let the reader figure it out. I didn't know I was in the middle of the series, you see, and I was highly impressed by what I thought was a first book. When I went back to the earlier books I found them to be too highly loaded with exposition.
There must be a balance if you are not to lose the players that want to learn ingame. You must be able to give meaty lessons on the setting to those that want it while also being able to slot in minimalist characters so they can learn where they are and the world they live in through play, almost as if they were watching a movie or reading a novel—by seeing the setting unfold around them.
There are benefits to both approaches, and the main benefit to combining them is that you don't lose players that would otherwise contribute a great deal to your game.