First Founding

After he conquered Terra, the God-Emperor of Mankind set out on a Great Crusade to re-unite the lost human colonies into a mighty Imperium. He soon realized that bog-standard humans wouldn't be enough; some situations called for a small number of devastatingly powerful warriors, a surgical strike force to smash enemy linchpins. To fill this role, he created his Primarchs, and from their genes, he created twenty Space Marine Legions:

Legion Number	Primarch	Homeworld	Name of the Legion	Allegiance
I	Lion El'Jonson	Caliban	Dark Angels	Loyal
II	+++Records expunged+++
III	Fulgrim	Chemos	Emperor's Children	Traitor
IV	Perturabo	Olympia	Iron Warriors	Traitor
V	Jaghatai Khan	Mundus Planus	White Scars	Loyal
VI	Leman Russ	Fenris	Space Wolves	Loyal
VII	Rogal Dorn	Terra	Imperial Fists	Loyal
VIII	Konrad Curze	Nostramo	Night Lords	Traitor
IX	Sanguinius	Baal	Blood Angels	Loyal
X	Ferrus Manus	Medusa	Iron Hands	Loyal
XI	+++Records expunged+++
XII	Angron	Unknown	World Eaters	Traitor
XIII	Roboute Guilliman	Macragge	Ultramarines	Loyal
XIV	Mortarion	Barbarus	Death Guard	Traitor
XV	Magnus the Red	Prospero	Thousand Sons	Traitor
XVI	Horus	Cthonia	Luna Wolves/Sons of Horus	Traitor
XVII	Lorgar	Colchis	Word Bearers	Traitor
XVIII	Vulkan	Nocturne	Salamanders	Loyal
XIX	Corax	Deliverance	Raven Guard	Loyal
XX	Alpharius Omegon	Unknown	Alpha Legion	It's complicated

Two Unknown Legions

Just like the two unknown Primarchs, nothing concrete is known about the Legions II and XI. It is suggested that the Space Wolves destroyed them for some reason, and in the Horus Heresy book The First Heretic, a daemon suggests to the Word Bearers that the eleventh Legion in particular did something really bad, and that the left-over Marines were folded into the Ultramarines.