For some reason, I like to imagine members of the Sorrows arriving in the Wasteland eventually and spreading their faith.
I also don't like to think the Tunnelers are the threat Ulysses says they are. Dangerous, but not civilisation destroying.
Unless you count Courier backstory as headcanon, I got nothing.
I role play that my character isn't the courier, but I'm pretty sure everyone does that.
Also I always believed that the Legion would treat my female character differently because of her back story.
I always thought this - arm everyone with flare guns and what's the big deal?
I don't think of anything as canon, I wait for the next game, then I'll incorporate some of my characters' stories into it, that is if there won'be too many years between games.
I don't particularly like the forced backstory with Ulysses either but it doesn't interfere with my characters' background too much. My characters either are still couriers, were couriers at some point or do different jobs, with courier being just one of them.
I didn't really care to much about the set canon when I made my female Legionary. The back-story for her if anyone cares, is that she was captured by the legion and was forced into slavery. After 3 years as a slave she escaped killing over a dozen legionaries, and a Centurion.
Before she was captured a year later she ended up killing over 100 legionaries and burned down a tent camp in Arizona. When she was captured Caesar requested her presence, during the meeting she attempted to escape again seriously injuring a Praetorian guard and killing another in the process.
Instead of having her killed Caesar made her an assassin and a scout. She quickly rose up in the ranks having lead major strikes against the NCR, and some would say she was the main reason the Legion won the battle of Hoover Dam.
But when she met with Joshua Graham he warned her that Caesar would have her killed or worse once she outlived her effectiveness. She thought nothing of the warning but on returning to the Mojave she was ambushed by Legion assassins she once trained, and was executed. But is she really dead? No one knows, and she likes it that way.
I've only played 3 and NV, so when I do think about the background and the future, I consider both together as representative of the general state of affairs on the North American continent in the 23rd century. In brief, large numbers of barbarian tribes vs. smaller numbers of more "civilized" peoples (the NCR, BOS, NV, House, and probably some larger and more "military" dictatorships.) situated here and there. The only reason that the civilized would still exist would be because the barbarians would likely be fighting one another for local or area supremacy as well as the civilized. The civilized would seek survival through better technology, discipline, and superior organization; the barbarians primarily through superior numbers. A sort of 23rd century version of tyhe agricultural vs. the pastoral, with the wall becoming a predominant feature of any group of people who want to survive. It's man at war with himself, as usual. Now throw in tunnelers, aliens in orbit cherry picking people off the surface, mass starvation in the west in about a decade or so. That's the picture. If they're smart, the NCR, MBOS, NV, and House would set aside their differences and patch together an alliance. This overall picture of the situation would likely be unavailable to them however, so there's really no reason for them to do so. Therefore, there is chaos, self- induced.