It should show you have skill and a tight style, good proportion, expert use of colour etc. and not scrappy doodles, trite or bland ideas etc. You should also show off a range of things you can do, so not all ninjas or whatever

What kind of concept art are you doing? Character, environment, etc.? Do you have skills in Photoshop/other 2D art programs, or Maya/ZBrush/Blender/other 3D creation programs?