There is always someone bigger...

[tarchon]

I usually try to set up my encounters with a lot of low CR stuff, just so players can appreciate that they're getting more powerful. Silliness is a 15th level dungeon in which every encounter is a CR 15 monster that could, anywhere else, be ruling an empire instead of standing around waiting for a 15th level PC to come along and kill it.
The best thing to do is establish early on that that there really are remote beings of immense power around, and generally speaking, most PCs will find a eventually way to come into conflict with them when they become powerful enough to do so, even without the DM throwing a series of ever bigger evils in their path.

 

[JoeGKushner]

I try to keep several balls up in the air at one time so that whenever the party knocks one out, I can pull out another one. Sometimes these individuals are equals, or even lesser in terms of raw physical power, sometimes not.

For example, the party has crossed paths with drow, red wizards, mercenary bands, barbarian hordes and even dragons. Physically, the most powerful of these individuals is probably the dragon, but individually, the drow and red wizards probably have the most to bring against the party.

I also use a lot of cults and hidden myths and lore. I used that one deity from dragon, the Ebon Maw or somethign, a while back and will probably use the new god from the latest dragon, the void dweller or something he's called.

Now this can get a little silly if you play it too long as others have noted. Still, I didn't quite hate it when the "Enemy" was discovered in Raymond Fiest's Midkemia series but didn't quite love it either.

 

[RFisher]

Has anyone here ever used the "There is always someone more powerful" theme in their game?

Yes, but...

I always try to ensure that they feel accomplishment in what they have done. Sure, there's a bigger, badder, bad guy in another country that was pulling the strings, but the PCs have eliminated the substantial threat that this big, bad guy was causing. If they retired/died tomorrow, their victory was not in vain.

 

[Tinker Gnome]

Hmmmm, ya know after the way my grouo acted tonight I am not sure if I am going to use the plot I was going to. It is hard for them to go a couple of minutes with out throwing stuff at each other or cracking a joke aboutone players girlfriend.