Define deeper. Skyrim obviously has more. It's the fifth game in a very large, very old, very popular, very lore driven series. So if that's the question, than obvious there's no contest. I suppose define lore as well. Is CHIM lore, or something else?
If you mean which I find more interesting and engaging personally, Dark Souls hands down. I'm the guy that does spend hours in the game, looking for every little hint I can find to try and get deeper into the world. I couldn't even explain why really, I just enjoy the lore more. --- This is a unique signature. I've put it here, so hopefully when you see it again you'll think "Oh yeah, that guy with the stupid signature!"