I've had a similar problem finding this in-game once you've made your initial choice, but the benefits are:
- "Air and Space" - aircraft maintenance/cost is reduced by 50%. You can create interceptors for cheaper, and their monthly fees are reduced.
- "We Have Ways" - Interrogations an autopsies complete instantly. autopsies provide certain projects and gear, which typically requires corpses. Interrogations typically yield research bonuses.
- "Expert Knowledge" - Labs and Workshops cost 50% less to build and maintain. Labs grant scientists and speed up research. Workshops grant engineers and can reduce the cost of buildings.
- "Future Combat" - 50% discount on in the Foundry and Officer Training School projects. The Officer Training School bonus is pretty nice in the early game, and there are a few "gear improvements" in the Foundry that can be useful.
- "All In" - Monthly income is increased by 30%. This means that at the end of the month, when you collect your income, it will be boosted, allowing you to build/buy more things in any given month.
I've given sort of a high-level interpretation of how the bonus would effect your game, but you'd probably want to play a bit or do some further research to fully understand the side effects. For instance, a certain number of engineers is required for many engineering projects, and there's the notion of adjacency bonuses, and etc.
Note that you can also get another continent's bonus by having satellites over every country in that continent. Getting additional continent bonuses also requires that countries in that continent do not leave the alliance.