It's a pretty easy lore to sum up.

"Every myth is real, especially Abrahamic myths. Unfortunately, they are all assholes (Gnosticism may be to blame). YHVH is Lawful Evil and Lucifer is Chaotic Evil. The world frequently ends, but they make up for it by having an entire multiverse of worlds that can go to shit. Speaking of things going to shit, that's how most of the boss fights will go for you. Also, recurring characters include a giant penis in a chariot, Alie of Wonderland, Cerberus with a single head, an ice demon whose brother is Jack the Ripper, and Stephen Hawking."

…on the second thought, I have no idea what these games are about.

Yeah, but Stephen Hawking is the raddest guy and the strongest being in the universe.