There are several ways to take in the massive amounts of world exposition in Skyrim.

See, I think Skyrim does exposition really well. It might be because I naturally gravitate toward fantasy anyway, and it might be because I do well with Elder Scrolls games (i.e. I don't necessarily know every character name and date, but I can determine if a name is human, god, location, etc.). Either way, I'm pretty sure it taps into the many masters Bethesda has to serve when developing their open-world RPGs.

There's the player like me. I'm basically a lore-devouring machine. You put a book in the depths of a dungeon, I don't really care how immersion-breaking it is (I actually do, but that's beside the point), I'm going to read that book right then and there. I'll cross-reference it with my little mental spreadsheet and have a slightly more comprehensive understanding of the political realities of Skyrim. But on the other hand, you have less obsessive players, who maybe haven't played an Elder Scrolls game before, but they're enterprising and eager to learn.

For these people, Bethesda has pulled their biggest magic trick. The problem with exposition for these folks is that there's no way to fully determine what order they'll see things in over the long term. Exposition just has to hang ambiently in the air. They can pick up as much as they want or don't want, which allows for a spectrum of understanding.

Me, I hang out at one extreme end of the spectrum now, after thirty hours in Skyrim. The inherent jank of the systems at play, the way nobody really reacts to events realistically, has essentially broken the realism for me. I started out ready to play as an upstanding individual. I now play Skyrim as an amoral sensation-seeker, wishing merely to have as many different experiences as possible, wringing Skyrim dry like a rag. I can't suspend my disbelief any further. I've started to play Skyrim as though it were Saints Row: The Third, and my experience is all the better for it.