Has anyone developed a back-story for their character including things like where they are from and why they were crossing the border to Skyrim?

I have, yes, for two of my own characters.

My 'Let's Play Skyrim' Nord will also have a story; though I have yet to write it.

yep

my Khajiit is a wandering hunter/thief, he is good but far from honest, he rob from the middle class and up and give to himself, but he never murder, he only kill in defence, he crossed the border thinking the conflict would be a good way to earn gold

and the imperial I plan to start today is a wandering "cleric" of the divines who wanders the world aiding the world, by restoration...or mace. He crossed the border becuase a few days back he fealt a...calling in his heart, his heart longing for Skyrim. Why? He doesn′t know yet.