Almost every published setting comes with pages of world history, sometimes entire chapters on the history of various factions and worlds players are expected to read through and (hopefully) remember well enough to grasp the setting.

An alternative is for the Gm to play through the highlights of the history (Wars or other exciting segments) in mini one-shot adventures, making it more memorable and captivating then reading about it from the book.

For example the Rogue Trader/Dark Heresy/Death Watch settings have a deep history of the Imperium’s rise to power, the corruption of chaos, first encounters with xenos’ and even a sense of  historic legacy behind each space marine clan.  Trying to convey all this to the player/s usually comes down to passing them a source book to read or trying to relate what you remember of the history that their character would know. (Neither is much fun really)

The same holds true in other settings as well in regards to a famous weapons historic legacy, and how it was wielded in a great battle. (Unless you happen to be a real life bard trying to recount the epic struggle that made the weapon famous will probably bore your players after ten minutes.)

The alternative I prefer is to give them a choice of several pre-gen characters, (or let them use their current character as a long dead relative.) and make the epic battle featuring the ancient weapon, or famous clan the focus of a single nights game session.

By playing through the drama and the battle the players (and Gm) not only have fun, but walk away with a vivid memory of this chapter of the worlds history that will stay with them long after the campaign has ended.

This technique can be applied in the middle of a campaign as well, when a character comes across a weapon with a legacy, and later is in a position to learn this legacy (from a bard, ancient text in a library, etc..) Rather then present them with a page of story, actually experiencing the events will make it more fun for everyone at the table, and give them a more personal connection to the weapon or artifact. (TV shows such as Highlander, and movies do this all the time with cut scenes re-showing pieces of historical importance.

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