You're a member of an Elite special forces unit that has to shoot guys in captains hats with rockets and magical baseballs to stop their evil organization, which is hellbent on destroying the world with the broodlings spawned from eggs pushed from their dark lord, Oscuro's, gaping vagina (maybe cloaca?)... or something like that.
One of my favorite things about this game was that enemies would occasionally drop to their knees and beg for their lives. If you let them do this long enough, they would feign death.