Enemies are more dangerous and high value loot it easier to find.
My current charcter went to Solstheim straight after being told to speak to the greybeards (which I didn't do) and only came back to Skyrim to take an item to an Altmer in Falkreath. After that my character went back to Solstheim and will probably stay there for the rest of the RP.
You could RP a Redoran guard, Skaal (my current RP), miner, Neloth's servant/slave/test subject, hunter, adventurer that doesn't cry about an arrow in the knee, Dwemer researcher and more.
Any race is suitable but Nord and Dunmer are the main races that live there.