Over arching story is that he has to get back to the past and multiple episodes touch on him attempting to get back to the past, over time he learns things from his journey which help him get out of deadly situations. The show's connected, it's just not up in your face about it, like I said. Here are some examples of Jack displaying that his time in the future over the past few seasons have helped him grow as a combatant and character.
Episode XXXIV: Jack and the Swamp Monster (Has become more aware of Aku's trickery and attempts to foil Jack)
Episode XLVI: Scotsman Saves Jack, Part 2 (Displays that in comparison to when they first met, Jack has become much more capable as a warrior and that the gap between him and The Scottsman has grown drastically)
Episode XLIV: The Princess and the Bounty Hunters (Compared to earlier episodes such as when he went up against the imakandi and lost) Jack is now capable of taking down multiple battle hardened & extremely lethal bounty hunters all within the span of 5 seconds or less.
Episode XLIX: The Four Seasons of Death (He's showcased that he's much less gullible and innocent compared to how he was in previous seasons)>Woah, that's cool moment!
It's an action show and your main character is supposed to be "cool." That's the point, doesn't mean the show's completely devoid of any story.
The episodes aren't connected in the way you think they are, but over all they do have connections when you look at the story over all. And while it's slow going Jack does develop as a person & warrior. Am I saying it has "extremely deep" lore? No, I'm not. Though, when you say it doesn't have a story, that's just false. We're constantly reminded that Jack is going to get back to the past at some point or another and there are recurring points within the show that tell us that his stories aren't completely separated from one another.