Some of the attractions at the Disney Theme Parks have backstories, but you have to look in books and promotional materials for the parks to find it.
Some of them are explained by voiceover artists over intercoms or through video packages aired while you're waiting in line, but not everyone pays attention to them — or they speed through the line too fast to even see them. For an example, at the rival Universal Studios Florida park, Revenge of the Mummy at Universal Studios is based around the concept that you're participating in a filming of another Mummy movie. If you take the Fast Pass-style line, you'll go through too fast to even figure this out.
Disney is an odd case of this, as their official policy regarding a ride's backstory is that it is whatever the Cast Members working there that day decide it is. Most rides have a generally accepted story that most Cast Members will stick to, but any details are subject to change at a moments notice, and some of the best parts come from some guy one day deciding to change it up a bit.
The Blizzard Beach water park has a backstory. One day, Florida was hit with a freak snowstorm and it was decided to create the state's first ski resort. When all the snow melted and the plans were to be cancelled, they saw the Ice Gator sliding down the slopes and they decided to make it a water park.
In The Amazing Adventures of Spider-Man, it is never properly explained where Doctor Octopus' levitation ray came from. He claims that he created it himself, however a tie-in comic book reveals that this was not the case and that he actually stole it from Stark Industries.