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>EX Delta Species introduced δ Delta Species, a type of Pokémon, and Holon's Pokémon, which could also double as Special Energy cards. The expansion was set in the Holon Research Tower, home of scientists who conduct research on Mew and strange new Pokémon. These Pokémon have been altered by a wave of electromagnetic radiation produced by an experiment gone awry at Holon labs. The result was a new species of Pokémon called the Delta Species. These new Pokémon possessed different types than their usual species.
>In addition to this lore blurb you can spot things like recurring bits of architecture in card art (see the lightning tower in pic related), as well as the trainer cards that further build on it
Are there other sets that set up a "lore" for themselves? I can't think of any off the top of my head.