When you're just starting out none of this matters a great deal-and you can always pick up sticks and start over elsewhere without much pain-but it will deeply affect you later. The Khuzait, for example, are steppe nomads who favor mounted combat, making them a great faction to align yourself with if you fancy yourself a horse person.
Kingdoms do have some major differences to keep in mind, like the strength of their economies and armies, the types of weapons and armor they favor, and who their ruling lords and ladies are.