While this won't be usable in every game you play (unless you always play on the same terrain), a few themed terrain pieces to complement your army allow you to build some objects that really embody your theme but are simply too big to be used as models. Pyramids, Mayan temples, or monstrous skeletons like the one shown above are just a few examples. These are also great if you're making a display board for your army, to form a nice background.
The sky really is the limit with this. Nothing will scream out your army's theme more than an entirely unique, possibly scratch-built unit devoted to your theme. Although you should make sure your opponent agrees with your counts-as unit, they can really draw some eyes from other tables as well. Always make sure though that the model you made can reasonably represent the unit it counts as. Weapons and size should be similar, and make sure you're not gaining an unwanted in-game advantage by using your counts-as model.
Since they're needed in 2/3 of your games, they're simple to make (and rid your desk of scattered spare parts at the same time), it's well worth making at least a couple of these. In addition, they are a great way of showing off your army's theme. While you could make some general, 'vanilla' objectives, like ammo boxes or fallen warriors, items like the dinosaur egg above can be characterful (if a bit rediculous) objectives tying in with your army.
That's it for now, but I'll be following up this series in the future with some more ideas.