In amongst all the done-to-death evil priests and goblins, Keep on the Shadowfell presents one section of honest-to-god story, that being the downfall of the Keep and its final commander.
Winterhaven and all the lands that surround it were once part of the Empire of Nerath, a vast continent-spanning kingdom that brought light and civilisation and suchlike to every corner of the wilderness. During the time of the Empire, followers of Orcus tore a rift to the Shadowfell, plane of undeath, and used the energies therein to call forth a great tide of undead.
The Empire mounted a response, and after much battle and sacrifice the undead were driven back and the cultists defeated. Priests of the Empire sealed the rift, and a great keep was built on its site so that it might be watched and guarded forevermore.
However, all things fall into decline and with the passing of decades the Empire collapsed under internal and external pressures. Its borders were drawn inwards, and the Keep and all its guardians were abandoned and forgotten.
The commander of the Keep at the time of the Empire's collapse was a man named Keegan, a staunch and brave knight of the realm. However, finding himself forsaken by his nation, and with resources and manpower running always tighter, he let the darkness and malaise emanating from the rift take hold of his mind.
Keegan went mad; he took up his longsword Aecris, dedicated to the Platinum Dragon Bahamut, and used it to strike down his wife, his children, and almost every man under his command. As the survivors fled the keep, Keegan descended into the crypts that contained the rift, and was never seen again.
It's a great story and adds some real flavour to the keep. Keegan's ultimate fate, of course, plays an important role towards the midpoint of the main dungeon, so it's something you can use as a sub-goal to keep players alert while they're still some distance from Kalarel.
The problem is that the module gives you no way to get this story across to your players. No one involved in the story is still alive, no one in Winterhaven really knows the details, and even if you did have someone ready to narrate the whole tale, a big infodump of non-interactive history makes for terrible storytelling. World class writers often have difficulty finding audiences for prose readings; how much less interesting will you be rattling off something you've jotted down on the back of your game notes?
My personal solution was to use interactive dreams in which the players got to directly live out Keegan's story from a first-person perspective, which seemed to work well, but this isn't typical D&D-style roleplaying and it can be very challenging for beginning DMs.
A more traditional solution would be to integrate Keegan's story into the dungeon design. There are plenty of encounters that cast some light on Kalarel's recent activities, but very few that tie into the keep's tragic history. The players are able to find the corpses of Keegan's children, but these are inexplicably located after the in-dungeon resolution of the Keegan subplot.
The opening areas of the keep should have been littered with the identifiable corpses of Keegan's victims; there should still remain barricades where they attempted to desperately fend off their maddened commander. Terrified survivors trapped in tiny chambers should have left despairing messages scratched in the walls while they heard their comrades being slaughtered all around them.
The writers of Keep on the Shadowfell seem to be aware of the opportunities they're missing. Much in the vein of their "make up your own stories" and "paint the scene" advice, they exhort DMs to "bring the dungeon to life and carry the tragic story behind the dungeon's origin to the forefront" (page 35). This advice, if followed, would indeed make for good storytelling, but it would be nice, in a $30 module aimed at starter DMs, if there were some concrete examples of how it could be achieved.