Objectives are often something that gets left to the end of an army build, and are consequently rushed just to get them ready for a tournament. This leads to bases with numbers painted on, or just an icon glued on or similar, but this is missing a chance to be quite creative. I've seen some really good modelling done as objectives over the years - crashed jetbikes, lost Ratling snipers, statues of Ghazghul etc, but it's also a chance to incorporate a different aspect of your army into each objective.
For my Dark Eldar army I have the following:
a spider model which is presumably being harvested for its poisonous venom
a monster which has either escaped from, or is destined for the arenas
a evil looking portal - a route to a disconnected part of the webway, or a backdoor to a rival's realm?
I've tried in each of them to take one aspect of the Dark Eldar's depravity and make a marker for it. The final objective, which is a 60mm one will be a crashed jetbike with a wych carrying a stolen item - the raiders must retake this stolen item to take it back to their shadowy city.
I'm working on some other items for my other armies:
For my Orks I have a scrap pile (for lootin') I actually made a couple of these to double as scrap markers in GorkaMorka. Most of the items are miscasts from Zinge Industries, he likes to give them out for us to convert!
For any Imperial forces I have this statue of a terminator. I bought the green-stuffed figure in a bulk buy on Craigslist, and while it's very well done, some botched repairs by a previous owner make it look a bit too rough to use as a figure in my army. Mounted on an Orangina top on a 60mm base he makes an excellent statue though.
I also have a missing sniper objective under construction - photos when it's a bit further along.
I should also say an excellent source of 40mm based for objectives, or indeed any figure, is the humble poker chip. It's dead on, or close to if you get the knock-off ones, for a GW base.
In closing, please no more numbered 25mm bases - go out and make something visually interesting, and themed to the army you're playing!