Perhaps the most annoying thing someone facing a Space Marine army in Warhammer 40,000 is likely to come across is this special rule. It applies to all Imperial Space Marines, but does not applie to their Chaos counterparts; nor does it apply to any of the 'common' Imperial units.
Normally after failing a morale check, a unit will be forced to retreat, and will continue doing so until they either leave the board (discretion being the better part of valour) or if they manage to pass a further check. However, the Space Marines may completely disregard this. Should they find themselves failing a morale check, they will fall back as usual. However, they will then automatically regroup, meaning they may act as normal commencing from their next turn.
This can cause a number of annoying situations where a unit will regroup and open fire upon the very troops who had forced them to fall back. It also means that the Marines, with their already high leadership value and extremely good armour save (3+ basic save on a D6, Terminators getting an even better 2+) they soon become nicknamed "those buggers who refuse to die".
Naturally, I'm a Space Marine player.
Sources: Warhammer 40,000 Rulebook, 3rd edition, and the accompanying book Codex: Space Marines.