Our group has recently started a 40KRPG: Rogue Trader campaign. In this campaign, each session is basically standalone (we meet up too infrequently for anything more complex), though with consistent characters throughout.
For the uninitiated: in Rogue Trader, the PCs are the key officers on a spaceship a mile long, with a crew of thousands. Whereas typical RPGs tend to focus on a few heroes battling insurmountable odds, in Rogue Trader, the PCs are influential leaders in command of legions of troops.
In the first session, the PCs went off-ship alone, to explore a ruined facility (it was basically a traditional dungeon... in space). The session worked really well in its own right, but I'm conscious that too much use of scenarios like that would not satisfactorily represent the PCs' station in life. Why would four PCs explore a space station or planet themselves, when they could send in 4000 of the ship's crew? Why would they risk their own lives fighting a powerful foe on a planet's surface, when they could use the ship's powerful weapon to nuke it from orbit? How can a space battle be made interesting when the four players share control of one ship? (This last question is touched upon in the rulebook, but not very satisfactorily IMO; besides, that's only one small part of what I'm really asking here).
In games where the player characters have extensive resources - particularly command over powerful vehicles, or large numbers of subordinate crew - how can the GM keep the focus on the players, and constantly give them interesting decisions to make, while taking advantage of the power and authority of the characters they control?