Each of the warcasters (along with everything else) should have a bit of fluff in their entry in the core, and "forces of" book as Bubonicus said, but going into specifics you can find that the stories outside of the unit's actual entries not only involve the characters your using on the field, they all tie together to give a nice view of the current goings on in the world.
It's a little hard to find each and every story about everybody now, since the story line as been progressing since the initial release of Prime almost 8 years ago, and the Mk2 books mostly pick up where the story left off in the last book of Mk1. Rest assured, though, that there is quite a bit of fluff. Maybe not as much as 40k, but that's also been around 3 times as long, and while I love my 40k fluff, I've found the Warmachine/Hordes stories to be more relevant to what's actually happening on the table top. I would even venture to say that there is more fluff for each individual warcaster (except maybe the newest one for each faction) then there is for any character that you can actually use in 40k aside from Kommissar Gaunt who has multiple omni-buses (omni-bi?) about the Taneth first and only (which are fantastic, Abnett always entertains). That's not including the fact that a good number of them were characters in the Iron Kingdoms D&D setting that spawned Warmachine/Hordes (and should be coming out with a new edition sometime this year, working off it's own system based on the Warmachine/Hordes system instead of D&D).