Sandbox type games tend to present you with a pristine landscape, allowing you to make up the story as you goes along (cf. Minecraft, Sim City [?], etc.).
At first glance, the same should apply to Terraria, however:
The dungeon could hardly be considered a "natural geographical feature".
The Underworld is full of ruined buildings.
The floating islands are clearly flying ships that have been fossilized, or something similar.
Is there any known Lore or back-story that explains any of these moderately strange phenomena?