Pretty well what Neirikr said, you may also suggest some connections that come up in later adventures; Varisians, Shoanti, ties to the Cerulean Society or Old Korvosa, and for upper class characters the local nobility. My players included a Varisian bard with ties to the community in Korvosa, a town watch copper, a Shoanti and relative of Thousand Bones, and a noble character whose house ended up hosting the zombie party in book 2. These players had a blast throughout the campaign whereas one of the players who played an elf with no connections to the city (despite ongoing suggestions) while I think he had fun he was obviously not as invested as he could be. I had a great group for this campaign and was able to really weave the character's background and goals into the fabric of the AP. This I think is also one of the reasons this AP continues to be held up as Paizo's best. Good luck with the campaign!