Wales was a principality of England largely because it was conquered peicemeal. Largely because of its terrain, Wales was historically split into many small kindoms, as was Anglo-Saxon England. During the eighth and ninth centuries, the kingdoms of Wessex and Mercia occasionally vied for overlordship of the Welsh kingdoms along their border. According to the Anglo-Saxon Chronicle for example, the Welsh princes asked Alfred of Wessex for help against Ceolwulf II of Mercia in the late 870s, but he was Alfred's ally at this point so Alfred refused. In 893, Æthelred of Mercia brings a joint Mercian and Welsh army to help defend Wessex against a Viking invasion force, and in 916, his widow Æthelflæd leads a military expedition to Brecanenmere to punish a Welsh insurrection. During the tenth century, the Anglo-Saxon kingdoms coalesce into a unified England based on Wessex, so English politics and culture becomes largely West Saxon. There is still some cultural separatism in Mercia and the Danelaw, and recurrant semi-autonomy in Mercia and York. Wales, during this period, however, remains largely divided into subkingdoms.

Following the Norman Conquest of 1066, William becomes king of a unified England, and Malcolm III and David I rapidly "Normanise" Scotland in response, making it a unified "modern" kingdom to prevent the Anglo-Normans taking over. This is why, despite periodic English conquests, Scotland remains an independent nation for much of its history. Wales remains largely divided and the Anglo-Normans use this to their credit in a system of divide and rule. The "Marcher Lords" along the Anglo-Cambrian border are given relative autonomy to deal with Wales, and often act as glorified mercenaries, aiding one small kingdom against its neighbour in return for land, or perhaps marrying a son or daughter into the ruling family so that the kingdom eventually passes into English hands. Over the next few centuries, the kingdoms of Wales are slowly subsumed piece by piece into England.

Part of this process was the introduction of the term "Prince of Wales". Independent kings were a challenge to the supremacy of England, so from the 12th century, many agreed to be "princes" and be vassals of England rather than be invaded. In the 1280s, through a combination of inheritance, alliance and conquest, Llywelyn ap Gruffudd was able to unify much of Wales under his rule and rebel against the English. When Edward I defeated this rebellion and killed Llywelyn, he decided to make his son Edward the Prince of Wales. This began the tradition of the heir to the throne becoming the Prince of Wales, and also made a unified Wales a sub-kingdom of England. Curiously, this was surprisingly close to an old West Saxon tradition following the events of 825 in which the heir to Wessex ruled over Kent and Sussex as a subregulus of Wessex proper.

For some comparisson, there is still a surprising amount of regional hetrogeny in England, despite the large-scale movement of populations since the industrial revolution. The most obvious one is in accents; the stereotypical West Country "farmer pirate" accent is prevalent in former Wessex, and in marked contrast to the Midlands accent of former Mercia. The Northern accents are also influenced by Scandinavians. In terms of material culture, archaeology shows that in terms of fashion, West Saxon designs were spreading in popularity across England in the tenth century, but with some regional variation.

Some reading:

Whitelock, D., The Anglo-Saxon Chronicle

Dumville, D., The Annales Cambriae

Gerald of Wales, Itinerarium Kambriae and Descriptio Kambriae

Davies, R.R., The Age of Conquest: Wales, 1063–1415

Davies, R.R. Dominion and Conquest: The Experience of Ireland, Scotland, and Wales

Davies, W., Wales in the Early Middle Ages

Charles-Edwards, T., Wales and the Britons

Charles-Edwards, T., Wales and the Mercians

The Welsh are descendants from the original Celtic Britons before the Anglo-Saxon migrations (though most modern-day Welsh people are probably indistinguishable from English people genetically), and they retained their distinct Celtic identity against the Anglo-Saxon English kingdoms through history long enough that they are distinct. Geography probably helped because the border between Wales and the rest of England is pretty mountainous. The only other British Celtic nation is Cornwall (Irish, Scottish and Manx are Gaelic Celtic), and they retain somewhat of a unique identity as well.

Wessex started off as a Saxon kingdom (etym. West Saxons) and eventually united and merged with the other germanic-speaking lands to form an English identity. You could say there are small variations in culture and language (at the dialectical level) between the different counties of England.