Read the intro text when you first make a character.

Read the lore stones.

Go into your character sheet / inventory screen -- one of the buttons is a lore button.

Read the dreams when you have them -- they're glimpses of your life.

The story is actually quite well documented...but if you click through it all without reading, yeah, it's easy to miss.

eta: odin's enemies built up their power, in the realm he trapped them in. he sent his bird ladies out to scour the fields of battle to find powerful dead warriors to go beat his enemies back down into submission again. The undead dudes and necks are the original inhabitants, the villages are either their homes from when they were alive, OR remnants of previous Odin's-Slaves's-beat-down-tour, depending on what they are. The greylings and greydwarves are murderers whose souls have reanimated using moss and such for bodies (thus why they drop resin). The bosses (and their kids/people) are Odin's enemies. once you finish doing your god's work by murdering everything, you'll get to go live with him in The Good Place.