The Treasure Fleet
After having conquered El Dorado, the city of gold, the imperials are faced with the challenge of shipping the vast wealth of the new world, back to Europe, through pirate infested waters. Massive ships were built, armed to the teeth, to try to fend off those who would claim the treasure for themselves, including pirates, privateers, and rival nations. Sometimes however, the large ships were decoys, and the wealth was sent in a smaller escort ship instead. What would be your strategy to get the treasure home to your king without losing it. An imperial governor could make his name, or lose his head pending the success or failure of his fleet.
The Pirates
A pirate captain strolls into the tavern in a pirate haven and states that he intends to attack the treasure fleet. After the laughter dies down and people realize he is serious, some decline out of fear, but some accept the challenge and join his crew or add their own ships to the pirate fleet. Never before has a leader had the charisma to unite the pirates, with the promise of the greatest bounty any of them would ever know... His charisma extends to the ladies, and he has an inside lead on the movement of the treasure fleet - the Governor's daughter has fallen in love with him.
Possible Sets
The city of gold, El Dorado. Stone covered in jungle vines, with gold and jewels everywhere. Perhaps some native residents.
A large ship - pride of the imperial fleet, 2 tiers of cannons and a hold laden with chests.
A smaller imperial schooner - built for speed, to evade capture and get the treasure home.
A pirate brave enough, or crazy enough to amass a fleet to attack the treasure fleet with - a ramshackle assortment of salvaged sloops and schooners and a mangy crew to sail them.
I believe the story line also lends itself to some port town buildings, but I will leave that to the lego team's imagination.