Brother-Captain

Various Brother-Captains, specifically Masters of the Chapter.
In order: Masters of the Watch, Arsenal, Fleet, Marches, the Rites, Lord Executioner, Masters of Relics and of the Scouts.
Not shown: the Regent and Chief Victualler.

Among the Space Marines, the highest ranking officer in a Company is a Brother-Captain, who is commander of the company.

Legions

Among the Legiones Astartes, Brother-Captain was not confined to Company commanders, but also to special squad commanders. For example, the Luna Wolves/Sons of Horus First Company maintained two special Terminator squads, the Justaerin and the Catulan Reavers, under the command of Falkus Kibre and Kalus Ekaddon, who were lauded and celebrated heroes of the XVI Legion, but still had to answer to Garviel Loken, who was a full Company Captain.

Masters of the Chapter

After the publication of the Codex Astartes and the breaking of the Legions into Chapters, Brother-Captains were confined to Company commanders. Each Captain was given an aspect of command over the Chapter. Alongside the leaders of the Librarium, Chaplaincy, Armory and Apothecarion, the Brother-Captains hold the positions of Masters of the Chapters. Here they both serve as a board of advisors to the Chapter Master and hold a variety of positions within the Chapter with associated duties. The ten positions for a Codex-compliant Chapter are as follows:

• The senior most of the Captains is the First Captain, who is Captain of the First Company and holds the title of Regent. In the time of the Legions, the First Captain was generally considered the very best warrior of the Legion after his Primarch. In "modern" Chapters, the First Captain commands the veterans of the Chapter, and serves as the immediate second-in-command to the Chapter Master and Regent of that Chapter's home world or fleet. In a few Chapters, such as the Salamanders and the Crimson Fists, the Chapter Master is also the First Captain.
• The Captain of the Second Company is the Master of the Watch. Charged with maintaining discipline, they serve as the prosecution during trials within the Chapter and handle other cases involving a lack in discipline but that are not quite heretical.
• The Captain of the Third Company is the Master of the Arsenal. They oversee the Chapter's stockpile of weapons, munitions, vehicles of war and their quality. Likely works closely alongside the Master of the Forge.
• The Captain of the Fourth Company is the Master of the Fleet. They are charged with taking care of the Chapter's Fleet. It would seem logical that this position is more important in fleet-based Chapters, as the ships are even more important to the Chapter.
• The Captain of the Fifth Company is the Master of the Marches. They have the duty of overseeing the Chapter's deployment and fighting strength: when a Chapter is rebuilding for some reason they have the final say when the Chapter is ready. Their duties require an immense amount of time and effort; it is not uncommon for a Master of the Marches to spend all of his time on the incoming data, which does not seem like the thing a seven foot superhuman should spend his time on.
• The Captain of the Sixth Company is the Master of the Rites. They perform and oversee the rites, rituals and other formal occasions inherent to the Chapter; as such their duty (and the size of it) differs between the various Chapters.
• The Captain of the Seventh Company is the Chief Victualler. They are tasked with maintaining the logistics within the Chapter and with outside forces: that the supplies that the Chapter cannot make for itself are procured and that there are enough rough materials for the things the Chapter can do. They also make sure that the various ships and bases of the Chapter have ample supplies.
• The Captain of the Eight Company is the Lord Executioner. Unlike his bretheren the Lord Executioner serves as a weapon for the Chapter: to be bloody in battle and destroy the Chapter's enemies in close range.
• The Captain of the Ninth Company is the Master of Relics. Their duties are twofold: to tend to the various relics that the Chapter has and to engage in long-ranged warfare, both in sieges and firefights. Rumor that this duty also includes warding any and all Blood Ravens from the armory is unconfirmed.
• The Captain of the Tenth Company is the Master of the Recruits. They oversee the recruiting, indoctrination, training and deployment of the Chapter's Neophytes and Scouts.

I Can't Believe It's Not A Captain™

Some Chapters use different names for their Captains. For instance:

• Dark Angels - "Company Master"
• Space Wolves - "Wolf Lord (Actually Jarl)"
• Red Scorpions - "Commander"
• Black Templars - "Marshal" or "Castellan"
• Raven Guard - "Shadow Captain"
• Excoriators - "Corpus-Captain"
• Iron Hands - "Clan-Commander"
• Grey Knights - "Grand Master" Not Really, Brother-Captain is the official title for one of the leaders of the 8 Brotherhoods. Grand Masters are like Brother-Captains on steroids, but part of an even smaller inner conclave.
• White Scars - "Khan"

Tabletop

In Warhammer 40,000, Captains are sold to be customizable for the player to have the Captain serve whoever they want. However, it's overly expensive for something so fairly useless in its primary purposes: fighting and dueling. If you're going to use a Captain, use a Special Character.