Good points in this thread... Then again, I'm not sure if the original games were that much better in this regard.
I played BG1 and 2 for quite a bit, and still can't easily remember which deity stands for what. The ones I remember are: Bhaal, duh. Myrkul and whats-his-name from reading the in-game book The Dead Three. The Bitch Queen whose name escapes me right now but I'll recognize easily because we have repeated involvement in BG1 side-quests with her priestesses. Waukeen because Waukeen's Promenade. And Lolth because Drow City. I should probably remember the names of the three deities represented in the Temple District of Athkatla, but they were frankly too forgettable for me. I also never played Cleric or Paladin much or interacted with many Clerics or Paladins in-game so I don't even remember what deities they tend to worship. The names Helm, Lathander, and Cyric all ring a bell (maybe those were the three in the temple district?), and I know enough to know that Lathander represents good and Cyric evil, but that's about it. Maybe Helm was the neutral one? Oh yeah and I've picked up a thing or two about Selune and Shar from talking to Rasaad a few times but that knowledge has only solidified now thanks to BG3, and were it not for Rasaad who was only added by the Enhanced Editions, I wouldn't know anything about Selune and Shar from playing BG1 and 2.
So much for the pantheon. As for geography, in BG1 we just travel around these small towns and eventually reach Baldur's Gate, which is all seen on the simple rectangular world map, and I seem to remember being told in-game that Amn is in the south, but that's all. You never get a sense for the broader world in BG1. Even the overseas travel in TotSC don't help much since we don't actually get to see a map or anything. When we find ourselves in Athkatla in BG2, we don't even get a sense of how far away or in which direction we are from the regions we've traveled in BG1. Correct me if I'm wrong but I don't remember much in-game information in BG2 that would tell us that. All I know is that Athkatla is in the Amn region and that's all to the south of the BG1 regions.
Any D&D game is probably bound to be lacking in the in-game world building department simply because it's written by D&D enthusiasts who assume some amount of knowledge from the player-base. I would certainly love BG3 to improve on this front, though I'm not sure how it would best be done.
Here's an idea: add an intro/tutorial kind of thing one can optionally go through before starting the game, or pop back into whenever one feels like it. This could be kind of "on the meta level" and doesn't have to be related in any way to the actual story. For instance, within this tutorial mode, you might just play as a young student in Candlekeep who knows nothing but has access to all kinds of archives and sages who will tell him about the whole world, show you world maps, and so on, and maybe there's a combat training area too. This way you can dump all the knowledge on the player that the player wants without breaking immersion and also without forcing it on them. As a counter-example, it would be quite silly if Shadowheart went on a history lesson about Selune and Shar when prompted about her beliefs. Or if Lae'zel suddenly became all patient and explained you the whole history of Mind Flayers and Githyanki. These kind of things break immersion because they make the character go out of character, so we don't want that.