Skyrim is in a war with its self over who should be king or something like that, and there are different factions or lords that think they should rule. Now lets say you start in One city or you pic a nationality and everyone is freindly towards you in that city, and may even come to depend on you to lead their armies. But as you are from that city, the other cities dont like you at all. And might attack you without mercry upon hearing where you are from. Which may mean certain quests or story lines are not availible to that character, which means your second character will have a slightly different reaction of he was born in another city compared to your first. He may have a different start to the game, get different gear, or run a different tutorial, based on where he starts the game or what city he picks as his home.
Of course everyone would eventually worship you as the Dragonborn and the game would end the same way.
What do you think?