You can go to "Registration", then "Registration Field" > "Edit" > "Add Registration Field".
You can add the following type of custom fields:
Select (Dropdown selection)
Multiple Choice (radio buttons)
State Dropdown (For the US)
Province Dropdown (For Canada)
In the image below, you can see how they will look like in the registration form. If you are using "Embed Widgets" then, these will appear there as well.
All these fields will be accessible for you to download in the stats section