Guild Wars 2 has a decent story once you reach the first expansion and the subsequent living story episodes. FF14 is praised for the story of the first, but especially the second xpac. Friends of mine have been praising Blade and Soul's story, though I haven't played it. I've heard good things about LOTRO too from the forumites here.
But yeah, there's not a lot to pick from if you want an MMO with worthwhile storytelling, I'm still convinced that any story you do in an MMO, no matter how good, would be a lot better as a singleplayer game.