It's one of the things that appeals to me about 13th Age, the 'being attached to the setting' element of chargen. Sadly, our game didn't get very far before RL wrecked it (Scheduling has, once again, a DC of about 35).
Empire of the Petal Throne (the first game I DM'd for an extended period) was similarly tied to its setting.
My players loved that aspect of it.