What are the implications of "Select Your Country or Region"? I'm opening an iPhone after it has been reset to factory settings, and I'm asked to choose a language, and then to choose a country or region.

What are the implication of choosing a particular country? Will it lock me out of something? Can I change this setting later? Will it affect what apps I can download from the Apple app store?
You can change this setting later at any time. 

It doesn't affect the AppStore. The region setting will affect the availability of certain features which aren't available in all regions yet such as Apple Pay and Apple News. 

Apple News is only available if you set your region to Australia, UK or US. 
Apple Pay is additionally available in Canada.