Must be said that if you join a Nation and then you change your mind, you'll be always in time to quit by simply... joining another one.
Also, read the help page. Once in a Nation, there are some benefits if you get an higher rank (admiral, count, baron, etc.)
Stay tuned on Radio Bermuda! . Are you a new player? Contact me in game and I'll cast a helping voodoo. Consider this like a sort of "tutorial mission".