I'm partial to fantasy stories that have fleshed out lore––particularly about various species, their culture, history, biology, and their place in the world. It's important that the sentient species aren't bound by weird behavioral tropes that we often see in fantasy media (like "all orcs are brutish" or "all elves are refined").
I also love when authors use a more scientific take on religions and mythical creatures (incorporating basic biology and evolution), it makes the world feel more real to me, I guess, but it isn't a necessity. Sometimes things can just be magic.
One final thing: I find it more interesting when magical characters have to draw upon their own energy, or that of magical objects, in order to use their power––rather than having them manifest it from nowhere. This kinda ties into the "scientific magic" thing. Conservation of energy and all.