This adventure path will take place in the Inner Sea region of the world of Golarion, a setting created by the good people at Paizo for the Pathfinder game system. If you're not already familiar with the setting, you're in luck, because there are some useful online resources that will help you create your character's background, some of which I will link here.
The World of Golarion
The primary area where this particular campaign will take place will be Numeria, an expansive region located in the northeastern section of the continent of Avistan, although your characters needn't be native to that land, or even any of the neighboring nations, for that matter. Your characters will be agents of the famed Pathfinder Society, so it will be reasonable to write up a character from anywhere in the Inner Sea Region.
Note that you should use caution when using online wiki sites to gather information on the campaign setting, as some of those sites contain spoilers or information that does not jive with the timeline in which these adventures take place. With that said, what follows are some links that you may find useful.
Some additional information on the geography and history of Golarion can be found here:
The above sources, and the information posted throughout this thread, give you a general outline of the world of Golarion, but if you would like to read about it in more depth, or to have your own downloadable source of information on the Inner Sea region, there is a World Guide available from paizo that can be downloaded in pdf form at a small cost. It is a beautifully conceived and well written and illustrated piece of literature, but it is not required reading, as you can find all that you will need in the links above.
If you should choose to play a human, you may choose from among the following ethnicities native to the world of Golarion. Aside from giving your character some background and culture, your choice may also have minor mechanical benefits, such as deciding which regional feats are available to you.
Here is a brief decription of the major human ethnic groups found in the world:
Azlanti Language: Ancient Azlant Favored Regions: Absalom, Azlant, Cheliax, Taldor, Andoran, Varisia, Nidal Favored Deities: Humans claiming Azlanti blood often favor Aroden, last scion of Old Azlant.
Chelaxian Language: Common Favored Regions: Chelaxians are most commonly found in the former holdings of Imperial Cheliax, which includes Andoran, Galt, Molthune, Nirmathas, and the southern reaches of Varisa, including such urban centers as Korvosa and Magnimar. Favored Deities: For many centuries, Chelaxians were almost exclusively worshipers of Aroden, the Last Azlanti. With that god’s death, they have turned to a variety of gods and beliefs, including Erastil, Iomedae, Zon-Kuthon, and the practice of diabolism, venerating the vile devil-court of Asmodeus.
Tian Language: Tien Favored Regions: Absalom, Katapesh, Lands of the Linnorm Kings, Realm of the Mammoth Lords, Tian Xia, Varisia Favored Deities: Irori, ancestor worship, animistic nature worship
Ulfen Language: Skald Favored Regions: Irrisen, Lands of the Linnorm Kings, Varisia Favored Deities: Desna, Erastil, Gorum, Torag
Varisian Language: Varisian Favored Regions: Everywhere, but most common in Varisia, Ustalav, and Lake Encarthan and surrounding areas Favored Deities: Calistria, Cayden Cailean, Desna, Erastil, Norgorber, Shelyn, Urgathoa, Zon-Kuthon
Dwarves Language: Dwarven Favored Regions: Five Kings Mountains, Lands of the Linnorm Kings, Mindspin Mountains Favored Deities: Torag, Gorum, Abadar, Droskar
Half-Elves Language: Common or Elven Favored Regions: Truly, half-elves can be found anywhere, in any land, although they are most common in and near the former elf-holds in Varisia and the elf-kingdom of Kyonin. Many have also settled in the great city of Absalom. Favored Deities: Shelyn, Calistria, Cayden Cailean, Desna, Sarenrae, Nethys, Irori, Lamashtu, Zon-Kuthon
Half-Orcs Language: Common or Orc Favored Regions: Absalom, Belkzen, Cheliax, Hold of the Mammoth Lords, Isger, Katapesh, Nex, Nidal, Realm of the Mammoth Lords, River Kingdoms, the Shackles, Ustalav, Varisia Favored Deities: Gorum, Rovagug, Lamashtu, Calistria, Norgorber, Pharasma, Cayden Cailean
These are the various regional dialects spoken by the major human ethnicities of Golarion:
These are the languages of the major non-human races of Golarion, and also those attributed to particular sects such as druidic. Of course there are many more languages native to the less prominent races of the world. Only the most common are listed here.
These are the languages native to races and cultures found in the vast subterranean area of Golarion known as the Darklands. Again, there are probably others as well. These are the most common.
Languages of the Great Beyond
These are the most common languages native to beings from the outer planes.
These are the ancient languages of Golarion's lost civilizations, and are often the building blocks for most modern languages.
The following is a list of the major deities, with some general details, and links to more expanded descriptions. Note that evil gods are not allowed to be selected by PCs as their patron deity, but are listed here for reference.
The Accidental God, The Drunken Hero, The Lucky Drunk Alignment: Chaotic Good Cleric Alignments: NG, CG, CN Domains: Chaos, Charm, Good, Liberation, Strength, Travel Subdomains: Azata, Exploration, Ferocity, Love, Lust, Resolve Favored Weapon Group: Finesse Weapons (Rapier)
The Song of the Spheres; The Great Dreamer; Starsong; The Tender of Dreams; Lady Luck; Resplendent Goddess of Fortune; Goddess of the North Star Alignment: Chaotic Good Cleric Alignments: NG, CG, CN Domains: Chaos, Good, Liberation, Luck, Travel Subdomains: Azata, Curse, Exploration, Fate, Freedom, Revolution Favored Weapon Group: Light Blades (Starknife)
Old Deadeye; Stag God; Estig the Hunter Alignment: Lawful Good Cleric Alignments: LN, LG, NG Domains: Animal, Community, Good, Law, Plant Subdomains: Archon, Family, Feather, Fur, Growth, Home Favored Weapon Group: Bows (Longbow)
The Inheritor; Light of the Sword Alignment: Lawful Good Cleric Alignments: LN, LG, NG Domains: Glory, Good, Law, Sun, War Subdomains: Archon, Day, Heroism, Honor, Light, Tactics Favored Weapon Group: Heavy Blades (Longsword)
The Dawnflower; The Everlight; The Healing Light Alignment: Neutral Good Cleric Alignments: LG, NG, CG, N Domains: Fire, Glory, Good, Healing, Sun Subdomains: Agathion, Day, Heroism, Light, Restoration, Resurrection Favored Weapon Group: Heavy Blades (Scimitar)
The Eternal Rose Alignment: Neutral Good Cleric Alignments: LG, NG, CG, N Domains: Air, Charm, Good, Luck, Protection Subdomains: Agathion, Cloud, Defense, Fate, Love, Purity Favored Weapon Group: Pole Arms (Glaive)
God of Walls and Ditches; The Gold-Fisted Judge of the Gods; Master of the First Vault Alignment: Lawful Neutral Cleric Alignments: LG, LN, N Domains: Earth, Law, Nobility, Protection, Travel Subdomains: Defense, Inevitable, Leadership, Martyr, Metal, Trade Favored Weapon Group: Crossbows (Light Crossbow)
The Wind and the Waves Alignment: Neutral Cleric Alignments: LN, N, CN, NG Domains: Air, Animal, Plant, Water, Weather Subdomains: Cloud, Decay, Growth, Oceans, Seasons, Wind Favored Weapon Group: Spears & Lances (Trident)
Lord in Iron Alignment: Chaotic Neutral Cleric Alignments: CG, CN, N Domains: Chaos, Destruction, Glory, Strength, War Subdomains: Blood, Ferocity, Protean, Rage, Resolve, Tactics Favored Weapon Group: Heavy Blades (Greatsword)
Master of Masters; The Perfect Man Alignment: Lawful Neutral Cleric Alignments: LG, LN, N Domains: Healing, Knowledge, Law, Rune, Strength Subdomains: Inevitable, Language, Memory, Restoration, Resolve, Thought Favored Weapon Group: Monk Weapons (Unarmed Strike)
The Savored Sting; The Lady in the Room; The Unquenchable Fire Alignment: Chaotic Neutral Cleric Alignments: CG, CN, N Domains: Chaos, Charm, Knowledge, Luck, Trickery Subdomains: Azata, Curse, Deception, Lust, Memory, Thievery Favored Weapon Group: Finesse Weapons (Whip)
Lady of Graves; Mother of Souls Alignment: Neutral Cleric Alignments: LN, N, CN, NG Domains: Death, Healing, Knowledge, Repose, Water Subdomains: Ancestors, Ice, Memory, Resurrection, Souls, Thought Favored Weapon Group: Light Blades (Dagger)
The Archfiend; Dark Prince; The First God-Fiend; Lord of Darkness; Lord of Hell; Master of Witches; Prince of Darkness; Prince of Devils; Prince of Hell; Prince of Law; Ruler of Hell Alignment: Lawful Evil Cleric Alignments: LE, NE, LN Domains: Evil, Fire, Law, Magic, Trickery Subdomains: Arcane, Ash, Deception, Devil, Divine, Smoke Favored Weapon Group: Maces & Clubs (Heavy Mace)
Reaper of Reputation; Father Skinsaw; The Gray Master; Blackfingers Alignment: Neutral Evil Cleric Alignments: CE, NE, LE, N Domains: Charm, Death, Evil, Knowledge, Trickery Subdomains: Daemon, Deception, Memory, Murder, Thievery, Thought Favored Weapon Group: Light Blades (Short Sword)
The Pallid Princess, Lady Despair Alignment: Neutral Evil Cleric Alignments: CE, NE, LE, N Domains: Death, Evil, Magic, Strength, War Subdomains: Blood, Daemon, Divine, Ferocity, Murder, Undead Favored Weapon Group: Picks & Hammers (Scythe)
The Demon Queen; Mother of Monsters; Demon Mother; Mother of Beasts; Mother of Perversion; Mistress of Insanity; Grandmother Nightmare Alignment: Chaotic Evil Cleric Alignments: CE, NE, CN Domains: Chaos, Evil, Madness, Strength, Trickery Subdomains: Deception, Demon, Ferocity, Insanity, Nightmare, Thievery Favored Weapon Group: Heavy Blades (Falchion) or Light Blades (Kukri)
The Rough Beast; the Destroyer; Enemy of the Gods; the Great Destroyer; the Unmaker; the Worldbreaker Alignment: Chaotic Evil Cleric Alignments: CE, NE, CN Domains: Chaos, Evil, Destruction, Weather, War Subdomains: Blood, Catastrophe, Demon, Protean, Rage, Storms Favored Weapon Group: Axes (Great Axe)
The Midnight Lord; The Dark Prince; The Prince of Pain Alignment: Lawful Evil Cleric Alignments: LE, NE, LN Domains: Darkness, Death, Destruction, Evil, Law Subdomains: Catastrophe, Devil, Loss, Murder, Night, Undead Favored Weapon Group: Flails & Chains (Spiked Chain)
In addition to the major religions that are listed above, there are also a number of other deities that would be acceptable, although if you want to choose one other than those I've listed, I'd rather you limit your choices to the racial pantheons, and stay away from those that are specific to other continents like the Dragon Kingdoms or Vudra.
Here is a link to where a complete list can be found: