Apart from the impact of the story, in Pillars of Eternity 2 background generates additional bonuses. Below, you can find a list of all the bonuses generated by particular options.
The Living Lands
The White that Wends
Upon selecting the background, you can also choose your character's occupation. This results in further bonuses.
+1 Diplomacy, +1 Bluff, +1 Intimidation
+1 Survival, +1 Athletics, +1 Alchemy
+1 History, +1 Intimidation, +1 Stealth
+1 Streetwise, +1 Bluff, +1 Insight
+1 Survival, +1 Mechanics, +1 Alchemy
+1 Streetwise, +1 Athletics, +1 Intimidation
+1 Streetwise, +1 Diplomacy, +1 Bluff
Apart from the bonuses, this choice matters in terms of some of the dialogue options. Some characters can e.g. have the same origin as you, while others might condemn your character, as your people had a part in the popularization of slavery, etc.
It is a good to combine character's background with the previously chosen class and the general idea for the build!