Usually, when you sign up to a service (E.g Reddit, Facebook, etc), you connect to their centralised servers, and access all data from those servers. This also carried the risk of being subject to overly harsh policies surrounding moderation or even content of posts. Lemmy is “distributed”, meaning that, since there isn’t any one person who owns all of the servers, not only can you theoretically set up your own server that you can never be banned from (since you own it), but for the influx of users currently happening, the load of all the new people is spread across a lot of unique servers which interact, meaning the whole system doesn’t collapse if one server becomes too overloaded. In theory, it doesn’t matter which server you sign up to, as you can access all content anywhere on Lemmy from it (ignoring potential blocks of other servers, though this shouldn’t be much of an issue), but what would change is both:

What servers you can easily find in the search bar, as only servers someone on your server has interacted with will appear initially.
What content you see on the “Local” tab of the sidebar, as that tab only shows posts from communities on your particular server, E.g Lemmy.lukeog.com for me, and Lemmy.ca for you.