Regions are areas of the world which are considered part of a common geographical grouping. This affects certain mechanics and achievements. Note that certain regions overlap with one another.
Regions can be viewed by clicking a province, then clicking the "regions that include this province" button on the province view. When selecting a region, its boundaries will be outlined in green on the world map.
Steppes
The steppes region is where 
nomadic clans are found. Here, they can fight over pasture land for their herds, and raid the northern branch of the Silk Road for wealth. At the start of the game, most (if not all) nomadic counties are found in this region. Rulers of more civilised government types will have to deal with nomad agitation when trying to expand into this region.
Complete occupation of this region while playing as a nomad is required for the "Steppe by Steppe" achievement.
India
India is where the Indian religions originate. Complete control of this region as a feudal ruler following an Indian religion is required to become the 
Samrat Chakravartin, which awards the "My Very Own Subcontinent" achievement.
The "Jungle" terrain type is unique to this region. Also, nomads with nomadic capitals in this region will be able to recruit war elephant horde troops.
Chinese Region of Influence
This region holds less significance if 
Jade Dragon is not active.
Vicinity of China
Like the Chinese Region of Influence, this region holds less significance if Jade Dragon is not active.
The Near East
This region roughly corresponds to the area known in present times as the Middle East. Catholic or Fraticelli rulers who control this region in its entirety and hold a kingdom or empire title from the region can (after fulfilling other conditions) adopt the decision to create an Empire of the Outremer, which awards the achievement "Deus Vult".
Africa
Most African counties (those located in North Africa being the sole exception) are affected by the Rains modifier. Counties may be affected by light or heavy rain, which bring numerous benefits (and in the case of heavy rain, increased risk of diseases). Alternatively, African counties may be at risk of drought, which bring numerous maluses. Characters can spend wealth to initiate rain dance rituals, or to throw a festival to celebrate abundant rain.
Initiating a rain dance ritual which successfully induces rain (the success must be acknowledged in an event), while playing as a King or Emperor, is required for the achievement "Bless my Reign down in Africa".