But God hath chosen the foolish things of the world to confound the wise; and God hath chosen the weak things of the world to confound the things which are mighty
I don't have this game yet, but I have been trolling the Heroscape game space as of late. Anyway, it seems that a lot of people feel this game has a throw-away theme, not that it is really necessary for a game of this type.
To me, this sort of game would fit nicely in Zelazny's Amber universe. Each player represents a Prince (or Princess) of Amber that has drafted armies from various Shadows. Just typing now, I can think of several cool scenarios that could take place within this milieu. Just a thought... :-)