One of the things I really love about Ulduar is how interconnected it is to the lore of older Azerothian instances and new Wrath content like the Storm Peaks. (I have no idea who that mermaid is, though.) If you ran Uldaman back in the day, or even as you leveled characters more recently, you got to see a smashed, ruined installation of the Titans with lore characters like Ironaya and Archaedas (both of whom even have nice little shout outs in the Ulduar-10 loot table) and got a nice dose of the backstory for the creation of Azeroth. I think it was my lovely and talented wife who pointed out that Ulduar references lore from Ashenvale (the Master's Glaive), the Badlands (Uldaman itself), even Ahn'Qiraj and all of that lore is not just evident in the massive construction of Ulduar (you could even call it titanic, if you wanted a lot of people to groan at you) but in the sheer scale of bosses available. Only Naxxramas has more, and Ulduar has the edge in that several of its boss encounters have hard modes as well.
Ulduar also does a really excellent job of making you part of the lore of the place. If you leveled through the Storm Peaks, you most likely took part in the extended and rewarding quest chains that allowed you to interact with the Sons of Hodir, took part in the Hyldsmeet, and eventually raided the Halls of Lightning themselves to slay the Prime Designate himself. I'm trying really hard not to spoil anything, so suffice it to say that if you played through all of that content, you are directly responsible not only for the presence of one of the watchers within Ulduar itself, but for the potential upcoming end of the world. I find that to be rather motivating for going into the place, and they did a really excellent job of tying it all together.
The recent release of the Bosstiary also struck me as a good way to tie in some lore that players might otherwise miss in their frantic clicking through to the accept button on a dialog tree. I knew Razorscale was Veranus, Thorim's mount, by the presence of a certain gun on her loot table, but reading about what Loken did to the poor drake makes killing her somewhat bittersweet for me: on the one hand, it's probably best to put her out of her misery and get me a nice tanking gun, but since again I'm directly responsible for her being there in the first place I feel a sort of Old Yeller'ish duty to put her down.
While I'm generally very impressed by how Blizzard handled the lore of Ulduar and tied it into various instances and zones throughout the old world of Azeroth and certain Northrend zones (Yogg-Saron's presence is felt throughout the continent, from Icecrown to Grizzly Hills to Dragonblight to the Storm Peaks his insidious whipers and machinations threaten) I do find it somewhat jarring to go from raiding a big Scourge necropolis and killing off the number two undead in Azeroth to raiding a Titan citadel up in the Storm Peaks.
I realize that back when I was in BWL shifting gears to raid AQ and then old Naxx was even less connected lore wise, but to some degree I was spoiled by the progression from SSC/TK to Hyjal and Black Temple and finally even Sunwell in BC. Now, I don't miss the attunement processes that forced you to run Kara, Gruul and Mags if you wanted to raid SSC and TK, then forced you to kill Kael'thas and Vashj to go to Hyjal, where you would get the key to go to BT, but I did enjoy the lore reasoning of having to kill each of Illidan's lieutenants to retrieve the waters of the very Well of Eternity itself, just so I could time travel back to get an impossible key fragment for Black Temple. I don't understand why when I killed Malygos, an Aspect empowered by Norgannon himself, he doesn't drop some kind of magical device warning that there's trouble afoot in Ulduar. It doesn't have to be an attunement or a key, simply a quest item that sends you up there to check up on the place.
I mean, we have the key to the focusing iris dropping from Sapph, which gives us a tenuous lore reason to go raid Malygos after we get done in Naxx, all I'm saying is it would be nice if Maly similarly pointed us at the next step so it doesn't feel like we're just careening around the world killing whatever drops the nicest purples. Yes, that is why I'm actually going there, I admit it. Still, with the work Blizzard has put in tying Ulduar into the lore of the game, this is a minor quibble at best. If anything, Naxx feels more like a distraction now, with the fact that its swarming with Scourge the only real reason to go there lore wise, while Ulduar is where all the lore is popping. To some degree it almost feels like Yoggy and Algalon have made Arthas an orphan in his own expansion.
We have one more raid before we finally get to see Arthas roar back as the big bad of this expansion. Hopefully after the Coliseum we'll get to see Icecrown Citadel debut with lore this developed and interconnected. Maybe it can even do the job of making Naxx and Ulduar feel like logical stops on the way to the end.