Invincible Marines

Invincible Marines can be seen in one level of Halo: Combat Evolved, two levels on Halo 2 and two levels on Halo 3.

The Pillar of Autumn
The Halo: Combat Evolved Invincible Marines can be seen on the level The Pillar of Autumn. When Captain Jacob Keyes or any crewmember on the bridge is shot by the Master Chief, a group of invincible Marines come in and kill the Master Chief. This is not actually a glitch, though, but a programmed action for shooting the crew member and a fail safe to make the player die for betraying NPC allies. It has since been discovered that the Marines can be killed by using all of the player's frag grenades, but it is unlikely that they could survive long enough to do so. The only way to kill them is with mods (i.e Devtrainer's Medusa or One-hit-kill).

Outskirts
On the level Outskirts, advance to the part where you are offered the Warthog after getting the hidden sword. The Marines inside will get in the gunner and passenger seat. Advance to the part where the chapter title is "A Day At the Beach". If you get out of the Warthog and shoot or melee them with an Energy Sword, Sniper Rifle to the head, or any weapon, they will not die. These Marines might be useful when you have to go through the tunnel.

Metropolis
On the level Metropolis play through till you get to the part with the two Marines in the Warthog at the tunnel. Destroy the Warthog  before  you get to the wall area with Jackals. The Marines will be alive, the Warthog done for, and your two Invincible Marines still alive with their invincibility intact.

The Ark
On the level The Ark when you must activate the light bridge, kill some Marines so that they attack you on sight. In the next area, the Marine who drops off the Gauss Warthog will attack you on sight and is invincible.

The Covenant
On the level The Covenant on the bit where two Marines fly two Hornets and land in front of you you must get in to one of them and if you look above you to the right you will see a Pelican. What you have to do is fly up to the back of it and get out of your Hornet in such a way so you're inside of it and the Marine on the mounted turret is invincible.

Trivia

 * Sgt. Johnson qualifies as an Invincible Marine in Halo 2 because technically, he is one.
 * Commander Keyes on Halo 3 is invincible, although she wouldn't technically be called a Marine.