Part 1: Origins
Believe it or not, vanilla comes from an orchid that originated in Mexico. 
Vanilla orchid (V. bahitensis)
Vanilla orchids make up a small portion of the orchid family, comprising of approximately 110 individual species of orchids. Whitish, creamy, and green flowers give way to long green pods, which are seen in the picture above. These pods are what ends up becoming the vanilla we know and love.
The most widely cultivated species is flat-leaved vanilla, otherwise known as Vanilla planifolia (V. planifolia). This species is the most prominent of all vanilla types, making up 95% of the world's production of vanilla products. All vanilla orchids require tropical conditions to thrive and make vanilla pods, thereby making regions located within 10 degrees latitude of the equator the only places on Earth where vanilla can be produced. In addition, the orchid is highly sensitive to its environment. This is what leads to different types of vanilla having very distinct flavor profiles. Ugandan vanilla, for instance, has a very chocolatey flavor because of the unique soil composition of clay, ash, and peat present where it's grown.
However, there are many different types of vanilla that are still very useful for us, yet are not commercially lucrative to grow. From instance, V. pompona is a vanilla bean that we make vanilla extract with that has more unique flavor compounds than flat-leaved vanilla but is more susceptible to disease and climate change. Even vanilla beans of the same species grown in different climates can yield different visual characteristics in addition to unique flavor profiles.
Left: V. tahitensis, a cross between V. planifolia and V. odorata
Right: V. planifolia
V. pompona.
Part 2: The Flavor
Vanilla has an unmistakable scent and aroma that we find quite pleasing to the senses; it is used in perfumes in addition to extracts for baking. But what contributes to that unique flavor?
Vanilla mainly gets its flavor from an organic compound called vanillin.
Chemical structure of vanillin.
Vanillin is responsible for that classic vanilla taste. Most synthetically produced vanilla flavoring will have solely this compound in it. If you've had a vanilla or white cake as a child, you've probably tasted this compound's sweet flavor. But vanilla from the bean pod has much more than just vanillin.
Vanilla beans from the pod have several hundreds of compounds that contribute to each unique flavor note of the vanilla. This is why vanilla extract is considered the gold standard for baking. While synthetic flavoring may have the main component of vanilla flavor (vanillin), vanilla extracts made from whole pods often have hundreds of other flavor compounds that give them a much better overall flavor. Additionally, the extra compounds vary for each type of vanilla bean depending on the conditions each bean is grown in along with its species. This is why a vanilla bean from Madagascar may taste completely different from one that's grown in Mexico, even if they are the same species.
Next: The Down Low on Vanilla Beans: Why so Expensive?