Yeah, I miss good ol' manuals too. The feeling of reading them on the way home, getting to know characters and gameplay mechanics, all of this before even playing the game. Two manuals in particular that left a fond memory on me were Starcraft and Age of Empires.

Starcraft's manual containted useful information about the gameplay elements but also made it in an interesting way, constantly delivering subtle exposition of the races themselves, their history as well as the factions within them. Those little tidbits (such as the function of different Zerg broods) helped me immerse myself in the game's world and understand that I was going to enter into a grand adventure with a detailed, fascinating history behind it.

Ditto for AoE which also included a big book about the histories of the different civilizations; a history buff like me devoured that thing almost in one sitting even though I was still learning elementary English. It was such a nice extra for a gamer and was quite an entertaining read.