Yeah, but there aren't very many indications of the story in-game. Every map is the same general idea: kill waves of specimens, stock up at the trader, kill the Patriarch. Compare this to, say, Left 4 Dead, where each map has its own narrative. Fight your way through the streets until you reach the hospital, where you can be rescued. Travel through an ever-worsening storm to retrieve fuel for your boat. Stuff like that.
Killing Floor is definitely fun, but after a while I can't help asking, "Why, why am I killing these specimens?"