From what I've read, it doesn't seem like any of them can be obtained through an event within the games (like how the fourth Generation hidden Legendaries could be accessed with items). It seems the only way one can get them is by downloading them from an event. Though, there's always the chance this could change in the next fifth Generation game (at least for that game).
As far as their backstories go, they've all got one. I'm not sure if they're explained in-depth in the games aside from their PokéDex entries, but each of them has a sort of mini-event within the games, if you meet certain requirements. From what I've seen, Meloetta can be brought to a musician who will play a song, which will make it dance and want to learn the move Ancient Voice. Keldeo can be brought to an old man along with the other Musketeer Pokémon, and they go to some spot in some woods and teach it Sword of Mystery. Genosect's event involves battling a scientist who, once defeated, gives you its Casettes.
I'm sure I got some details wrong, and I'm not sure of all of the specifics.