From Lexicanum

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There are a select few massive military units known as Legions:

• the Titan Legions of the Adeptus Mechanicus.
• the Penal Legions of the Imperial Guard.
• the Space Marine Legions who were created by the Emperor. All loyal Legions were later divided into smaller Chapters.
• the Chaos Space Marine Legions betrayed the Emperor and are currently the only Space Marines Legions still in existance.