Everything here comes from what people in the game say, or from the game's own descriptions, and each line says who says it. Where they disagree, both sides are given.
Adon of Bythos
Your story starts at the Facturr Estate, in Humble Beginnings. On the night the undead attack, you tell the household "Then I'll buy you some time so you can get everyone out." It works: Lord Facturr comes back to tell you "We managed to get nearly everyone out of the house". Then something in the dark strikes you down. You wake somewhere else, in front of a stranger.
My name is Adon of Bythos... Though you may just refer to me as Adon. At your service.
He offers a second chance. Ask about the catch and he answers: "There's no catch… you'll just owe me a few favors, but we can worry about that later. The only thing you have to worry about is a few urges you may need to control and a hunger to sate..." If you ask whether he is turning you into a zombie, he says "No, not a Zombie. That would be… rather dull. You'll become something much more exciting", and promises you "won't even appear undead so long as you take care of yourself." Before he sends you off he tells you "You'd do well to purify those totems and consume ichor", and adds one more warning: "Oh, and I wouldn't stand in water if I were you. A small side effect of your gift."
He calls it a gift. The next time you die and he asks if you are thankful for it, you answer: "The curse you mean?" The game's own tutorial says your Curse meter "fills as you fight, gather and craft."
Adon speaks of himself as "an ancient, immortal entity". When you call on him from a Death Trading Post, his greeting can be "Adon's delivery service, how may I help you?", or "For thousands of years I lay dormant. Who has disturbed my... oh its you." The first time your belongings do not come back with you, they are "Reduced to ashes", and for "a small contribution of coin" he can return them. Beyond "a few favors", he has not said what he wants. The quest log for Meeting With Death puts it this way: "Perhaps now is a good time to learn more about the strange individual who brought you back to life, and what he can do for you... as well as what he wants from you."
The lands
You come back in the graveyard behind the Domaanziin temple in Kal Crossing, where Cassius Boone tends "the church and cemetery of Kal Crossing." King Wesfil rules from Wesfil Castle in Kal Crossing. Sir Loin calls him "King Wesfil the thirty sixth", and in his own blessing he names himself "King Eric Wesfil, Ruler of Badongerst". Cassius sends you to Liza, the stewardess of the kingdom, because "She has records of all happenings in South Umbardom." When the Returning the Favour event calls for shortbows to send north, its collector asks it of "the hardworking citizens of South Umbardom", and the bows go to the Northgaelian Guard.
The game's blurb for the Moorne says "The Kirrin Moorne divides South Umbardom from Northgaelia". Liza's family "lived in Northgaelia" when she was a child, and the Wedgewood trading family had a business in Kal Crossing "before they moved up to Northgaelia a few decades back." Orvyn Argotte studies for his doctorate "up in Guildhorne"; his diary calls it "the University at Guildhorne", while you and Captain Heggcorn call it "the college at Guildhorne". Heggcorn's silverware was "a gift from the royal artisans in Guildhorne". At the Moorne Fort, Heggcorn sums up the tie between north and south: "The people of Kal Crossing rely on the Moorne, and the people of Northgaelia rely on Umbardom."
Further off are places people only mention. Kelby Senn wants to "travel south to the Great Savannah together" with Alba, "where our families are originally from", and Spinney Greenwood says Alba's parents "were merchants from the Great Savannah, headed North to do business - when they were set upon by undead on the road." In the Tie a Yellow Ribbon event, the lumber man has you load his cart with logs, and when it is full he says "I'll be taking this to Ironsvern to stoke the furnaces down that way". Heather Vayne once took a trip "over the western mountains", where she "met a Simaros who knew how to cook Valac meat."
The Amperus Loima is harder to place. Theodore Badon repeats what his father told him, that the war "was fought over land surrounding the Amperus Loima at the center of the continent", while the Loima Shores blurb has the region lying "Along the shores of the Amperus Loima in the West."
The regions you can walk each have their own page: 
Kal Crossing, 
Badongerst, the 
Loima Shores, the 
Southern Swamp, the 
Shimmering Kal and the 
Kirrin Moorne.
The old wars
Three stretches of history come up again and again.
The Simaros. Shining Leaves the Elder says the Moorne "used to be so vast- stretching the entire continent", and that after "years of subjugation under the Simaros, and just as many alongside those that did not protect the Moorne, our home is shrinking". Looking over a Simaros book, you wonder whether it has "something to do with that war hundreds of years ago that took their empire down", and note that "this book looks old". Spinney Greenwood's Druid's Draught can change "human, simaros, or other beings" into a true druid.
The occult. Cassius Boone says occultism was "rediscovered a few hundred years ago", and that its power was abused: "Monsters were summoned, people were sacrificed, and undead were raised to fight battles for the living." When he suggests using it anyway, one of your answers is "The study has been outlawed in the region for centuries now", and in the swamp Theodore tells the people of Mirehaven "Occultic arts are also illegal".
The Fishing Wars. When the ghost of Corporal Emmanuel Downe swears "it's the year twelve-oh-four", you tell him "It’s the year one-thousand three hundred and thirty third of the Fourth Age", and that his year "was one-hundred and twenty-nine years ago." Mack Errol knows the war from the stories he heard as a boy: "months of fighting on the coast led to a land invasion", and Captain Badon hid "farmers and civilians-turned-warriors in the cellars", struck "until the first morning light", and the enemy was "pushed back to the coast." Theodore's father told him the war was fought "to protect these places of magical power that sprung up from the ground", in "a race to annex them into either side". You tell Emmanuel that "There is a town out West called Badongerst in his honor now", and Mack agrees: "Where else would it have come from? He was a hero of the region and they memorialized him for it!"
The war now
Theodore Badon says "we keep sending our best trained knights north to support the war efforts against the undead". Silvia Bellows says the crown's orders are "primarily for copper and sometimes iron armor", while "There are shipments of coal that get sent north for refining into steel". Spinney Greenwood dates the attack on Alba's parents to "about twenty years ago when the issue was becoming more serious." At the Moorne Fort, Captain Heggcorn says they are "so run down by this cruel war."
The spheres and the Domains
The spheres come up in everyday speech. You say "By the spheres" often, and so do Lord Facturr, Silvia Bellows and Theodore. Guardswoman Marsha Law says "Spheres know I've seen loss already". Captain Heggcorn and Shining Leaves the Elder part with "May the spheres guide you." Gregor Badon and Phoebe Casten's childhood friend are both said to have "passed into the spheres." Lord Facturr's prayer at dinner on the night of the attack begins "Great spheres and ancestors who have moved beyond our sight."
The Domaanziin temple in Kal Crossing is, as you put it to Cassius Boone, "a place to worship the Domains of the Earth, Sun and World Sphere." About the ghost in his graveyard, Cassius says "It is believed that undead that still have spirit when slain never reach the World Sphere to watch over their descendants." Asked why the altar answers occult offerings, he thinks the temple is "closely tied to the World Sphere that envelops our plane", and adds "But this is simply a theory." When he is tempted to use occultism for good, he asks himself: "Does that not go against the tenets of what we as Domaanziin Followers believe? To be kind and help others?"
In the Southern Swamp, Archivald Carideo of the Order of the Grey Dawn says "Sabaoth guide us", and Ramona Seager says "Sabaoth keep you, traveler." Adon, complaining about all the stories he has to hear, says "Saklas knows I have to LISTEN to them all day long." The game does not explain either name.
Things older than anyone
Cassius says the totems are "scattered across the land, leftovers from some kind of ancient civilization", and that "You will uncover totems naturally through mining, woodcutting or even fishing." The game's own descriptions wonder about them too. Of the 
Stable Totem: "Is this an effigy of the one who made it, or some kind of old god?" Of the 
Robust Totem: "You can feel thousands of years of patience reverberating within the heavy surface."
The Spot Caps once had a written language of their own. Shining Leaves the Elder says it was lost, and "all that remains behind are rune stones that dot the continent, a reminder of our old, forgotten power." In The Historianandthe Spot Caps, a Northgaelian scholar sets out to "decipher their lost rune stones."