I don't really roleplay that much. I've played most of my games while Conquest was the most feasible victory, so I almost always end up backstabbing even my good friends while playing the Elohim, for example, unless I've been lucky enough to get a Permanent Alliance in place with one of them. And that certainly isn't in character. I suppose we did do a bit of roleplaying back when we did the public succession games to display the features of FFH2, at least in the write-ups.
Come to think of it, I did actually play quite a fun game involving roleplaying on one occasion. I was the Ljosalfar, and I got a really amazing start location, which was next to a long river. As I explored further I found that this river was surrounded by fertile terrain and forests, so I promptly decided that the land around the river was "the promised land" for the Ljosalfar civilization, founded all my cities there, and crushed the one enemy who was insolent enough to try and grab a piece of that land.
I also tend to name interesting terrain features(large forests, mountain ranges, lakes, sites of greast battles) with fantasy-ish names to help immersion.