My current group all have an allegience to their family, as they are predominantly noble, I haven't used it yet but it gives fluff to the party and they will soon get rewarded for duty above and beyond, that sort of thing.
Even though i wouldn't get a benefit for it if ever i get to play, instead of GM my char will prolly have a allegience depending upon who i am playing...
Thespien the Aquilonian soldier will have an allegience to king and country, at least until conan comes along
Limited use so far, I think the materials need to include a plethora of suggestions (with specificity) to get more use out of this mechanic.
There are the general categories one can go with, to adjust specifically to the character:
2. Race (maybe too broad though for some, e.g. Hyborian?)
3. Nation (or smaller subset, e.g., village or tribe)
4. Organization (mercenary company, gang of thieves, guild, sorcerors' "ring", pirate crew, city guard, etc.)