The first ed Malifaux rulebooks have a good amount of fluff in them and give you a feel for the world. You can get PDF versions of them from DriveThruRPG for $7 a piece.
http://rpg.drivethrustuff.com/browse.php?manufacturers_id=5162
The 1.5 Rulebook, Twisting Fates, Rising Powers, & Storm of Shadows is what you're looking for.
Alternately If you're the type who likes paper the Wyrd webstore sells them for $7.50 plus shipping.
http://wyrd-games.net/shop/BOOKS-and-DECKS/
Past that Wyrd has been releasing this quarterly online magazine for years called Wyrd Chronicles. They're up to volume 13. It's free. in their download section.
http://wyrd-games.net/community/files/category/1-wyrd-chronicles/
Other than that you can nose around their Wiki page. Written by players, sponsored by Wyrd. It's a work in progress and contains mainly information on the game's pieces themselves and how they play. However there's fluff scattered about.
http://pullmyfinger.wikispaces.com/
Hope that helps. I asked the same question about two months ago.