Might be a Blizzard thing, I remember the original WoW box (the 5 CDs version) came with a small-book sized manual (200 pages or so, IIRC) with lore and explanations for the various classes, races, skills.

The battle chests (base game + expansion pack) also came with a detailed guide to all the new content, with leveling guides for the new areas, raid guides for the new bosses etc - though I don't think those were made by Blizzard, they just bundled them in the box.