I think the in-depth territory is reserved for Zelda--and with good cause. A guy in overalls can't get too epic... *braces for onslaught of comments to the contrary*
Well, I though the opening for SMG was pretty epic.
As for regular Mario games to have huge, complex stories, I think that Mario games could go a bit beyond the whole, "rescue the princess" thing, but for the most part, I'm fine with basic plots. What I think Nintendo could focus on is making new villians; after all, Bowser gets pretty stale after a while.
My belief is that it's not just how rich the plot is that makes a game's story good, but how said plot is presented, as well. Going back to SMG for a second, the basic story is just same old, "Bowser kidnaps Peach" stuff, but where it got me was how it was portrayed; big, epic and very exciting. I, personally, thought that Twilight Princess' story and objectives was pretty basic stuff, y'know, "Collect the pieces of sacred holy item from decades ago to combat evil", but it's huge, Lord of the Rings style epicness combined with it's serious dialogue and tone is why I hold it with high regard. Simply put, how the story is told to you can sometimes mask the shortcomings of the plot. At least, that's what I think.