Completely agree on having a background or story to your piece. We have a huge range of fantastic lore and background to help ground our entries. The judges are just as into this as we are - give them something they can geek out to! Simple things like having a model with a certain livery to help you understand when or where the piece is set. Having a space wolf on thunderwolf mount with Harald Deathwolf's great company sigil is a simple example.
Chances are if you can think of something like that and know of some lore to back it up the judges do too!