Roads are used to allow Merchants and Migrants to enter your land. This is done by connecting the edge of the map to your hall. Connecting more than one edge of the map to your hall will increase the likelihood of attracting more people.
Incoming people can be attacked by enemies if they run into them, so it's a good idea to set military patrols on or near your roads.
Roads can be found at Design>Roads and can be placed on any surface including slopes, but be sure that they are fully connected. Roads, like all designations, do not require any construction and can be removed by selecting a road and holding Alt+Shift while making any designations.
Possible Bugs Edit
Having the road go through a door (castle or regular) seems to prevent the function of roads even though they still appear to be there.