While the story mostly stays in the City of Rome and shows no battles, the Roman military, especially the Praetorian Guard, features heavily in the story.

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The Praetorian Guard

In General

The Praetorian Guard

Officially an elite unit within the Roman military dating back to the Republic, during which they served as the personal guards for senators and senior officers. After the transition to the Empire, Augustus transformed the Praetorians into his personal guard. They became increasingly politically powerful as the enforcers of the Emperor's will ... and sometimes, as its subverters.

0% Approval Rating: They're feared and hated under Tiberius, since they're the ones who enforce his purges and arrests.
Bodyguard Betrayal: A rogue Praetorian kills Caligula, they nearly kill mutiny against Tiberius, and when Messalina tries to overthrow Claudius, Pallas and Narcissus trust the regular Roman Army over the Praetorians.
Only in It for the Money: The Praetorians aren't particularly loyal to their Emperors; serving in the Guard is just a nice way to avoid the harder life and worse pay of serving as common soldiers. When Caligula is dead, the guards mostly focus on stealing as much treasure as they can from the palace before the Germans get their hands on it.
Praetorian Guard: The Praetorian Guard.
State Sec: Sejanus turns them into this. They'll still accompany the Emperor if he leaves Rome on a campaign, but otherwise they act more as political enforcers and secret police than a regular army unit.
Who Watches the Watchmen?: This becomes a problem thanks to Sejanus. He effectively turns the Guard into his, not the Emperor's, enforcers, and they start operating entirely outside the normal military chain of command.

Sejanus

Lucius Aelius Sejanus

Played by Patrick Stewart.

Tiberius' right-hand-man and the real power behind the throne.

Arson, Murder, and Admiration: Downplayed, but he briefly smiles after he is arrested, as if thinking "well played".
Cold-Blooded Torture: In the TV series he's shown torturing a man into making a false confession, calmly keeping up the torture in the face of his "The Reason You Suck" Speech, knowing the man will inevitably break.
Dragon-in-Chief: The older Tiberius gets, the more control Sejanus gets.
Establishing Character Moment: His first scene is killing Postumus on Tiberius' orders, demonstrating exactly how ruthless he can be.
Even Evil Has Loved Ones: He cares about his children. Indeed, his last words are demanding knowledge of their fate from his soon-to-be killer, who sadistically reveals that he killed them, too.
Hoist by His Own Petard: His dismissal of Claudius as a threat is what allows Claudius to get the truth to Tiberius and the ambition of his second-in-command leads to his defeat. His own guard kills him in the end.
Karmic Death: Subverted. He slandered and killed many innocent people without a shred of remorse, but his loved ones die horribly as well (with his daughter being raped and then killed) and a bloody purge is conducted on anyone who supported him. He spends his last moments demanding to know what happened to his children only for Macro to Kick the Dog by telling him that they've gone on ahead of him. His stabbing moments later becomes a borderline Mercy Kill.
A Lighter Shade of Black: He was Tiberius' hatchet man who also duped Tiberius into killing his family so that he could eventually be Tiberius' successor. Still he had some Pet the Dog moments with his kids and has at least some moderate scruples compared to his successor Macro. Tiberius immediately recognizes that Macro is worse than Sejanus when Caligula explains that Macro is knowingly letting Caligula sleep with his wife to climb up the social ladder.
Oh, Crap!: His face falls when he's called a traitor in front of the entire senate, as Macro and the other guards enter.
Professional Butt-Kisser: He manages to become emperor in all but name purely though sucking up to Tiberius. Additionally he walks on egg shells when Livia is around in an attempt to cozy up to her. She clearly doesn't trust him, but he lives, so he still does better than most sycophants do around her.

Macro

Quintus Naevius Cordus Sutorius Macro

Played by John Rhys-Davies.

The cunning and very ambitious second in command of Sejanus.

Ambition Is Evil: The reason that Caligula calls on him to launch a coup against Sejanus. Macro is a social climber first and foremost and latches on to Caligula to rise in the ranks.
Chuck Cunningham Syndrome: Abruptly disappears partway through the eighth episode. The novels reveal that Caligula soon got suspicious of him and had him poisoned. In the series, Caligula refers to him in the past tense saying to Claudius that he was going to give Cassius Macro's position, implying he may have died.
The Dragon: First to Sejanus, and then to Caligula.
Fat Bastard: The chubbiest soldier seen in the series, and easily the most vile.
Hate Sink: One of the most detestable characters on the show due to his absolutely horrific actions during the overthrow of Sejanus and being the main person to ensure Caligula's ascension to Emperor, despite knowing how awful he is. By his final appearance, he stands out as one of the only characters without a single redeeming quality.
It's All About Me: Cares not one whit for anything except his own power.
Karma Houdini: Only in the TV show, where he disappears without trace with no explanation given.
Karmic Death: In the books, he ends up being killed by the very madman he helped bring to power.
Kick Them While They Are Down: Before having Sejanus killed, he gloats that he's already killed Sejanus's children.
Sleeping Their Way to the Top: A surrogate version; he has no problem with his wife sleeping with Caligula to ensure his own ambitions.
Small Role, Big Impact: Directly paves the way for Sejanus's fall from grace. Later on he murders Tiberius so that Caligula becomes emperor.
Smug Snake: Even without much dialogue, he comes off as being one.
The Starscream: To Sejanus. In the novels, Caligula feared he would be the same to him.
Uncertain Doom: Not long after Caligula takes the Purple, Macro vanishes. Given that Macro had proven himself willing to murder an Emperor and that Caligula is, well, Caligula, it's reasonable to surmise that Caligula in the show got paranoid and had Macro killed, like in the novels.
Vorpal Pillow: How he dispatches Tiberius.
What Happened to the Mouse?: In the TV show, he disappears partway through Episode 8 without any explanation.
Would Hurt a Child: After Sejanus's fall, he personally ensures that his children are both killed and even orders his daughter to be raped before being stabbed to death, so she won't die a virgin and bring bad luck to the city. Later he beheads Gemellus on Caligula's orders.

Cassius

Cassius Chaerea

Played by Sam Dastor.

Caligula's captain of the guards and Macro's replacement.

Anti-Villain: Much like Sejanus and Macro he's the right hand to a despot and capable of carrying out some heinous deeds on his own accord. Though Cassius has more morals to him and conspires to destroy one of the series's most despicable characters.
Chekhov's Gunman: Is first mentioned in Episode 3, before making his first appearance in Episode 9.
The Dog Bites Back: Masterminds Caligula's downfall as he'd grown angry with Caligula's debauchery and constant humiliations.
Even Evil Has Standards: Caligula had him torture one of his soldiers for information on an alleged plot against him. The soldier died and Cassius reportedly was crying over having killed him. Caligula mocks him for it. He also clearly doesn't take any joy in killing Caesonia and baby Drusilla but deems it necessary to make a clean sweep of the Julio Claudian line, and makes the former's death as quick as possible.
Jerkass Has a Point: He doesn't deny trying to wipe out Caligula's family, because as he points out the very fact that Claudius has now become emperor shows he was right to do so.
Offscreen Moment of Awesome: He was name-dropped as one of the only officers to have made a good call when their Legion was ambushed at Teutoberg Forest. Cassius successfully managed to break through the enemy line and allowed his squadron to escape. The soldier who broke the news to Augustus was part of the company.
Old Soldier: Was an officer during the disastrous Battle of the Teutoberg Forest; he managed to lead a company of Romans to safety.
Pet the Dog: During one of his episodes Caligula nearly had Marcus executed under suspicion of treason, had Claudius not calmed him down. After the event, Cassius quietly tells Marcus that it would be best for him to leave should Caligula think to murder him later on.
The Starscream: Much like the previous head soldiers Sejanus and Macro, Cassius plots against his ruler. Though he's given a lot more sympathy than the others.
Well-Intentioned Extremist: Well Intentioned in that he kills Caligula and tries to restore the Republic. Extremist in that he tries to kill off the royal family, succeeding in killing Caligula's innocent wife and infant daughter.
Would Hurt a Child: Under his order, one of his soldiers plunges his gladio into Caligula's infant daughter while her mother, Caesonia, can only watch and scream before Cassius kills her in turn.

The Germanic Guard

In General

Cohors Germanorum

While the Praetorians were the Emperor's official bodyguards, Roman Emperors gradually started using a unit of picked Germanic mercenaries for closer personal protection, as these men were from outside the Roman world and had no personal connections to anyone who might oppose an Emperor. They show up under Tiberius, and largely replace the Praetorians for close bodyguard duty under Caligula.

Bling of War: Under Caligula, they replace their standard-issue Roman uniforms with gilded scaled armor, with purple trimmings.
Cadre of Foreign Bodyguards: The whole point of using them. They don't have any ties to Rome, have no personal loyalties to local aristocrats, and therefore have few personal reasons to turn on their Emperor.
Funny Foreigner: They don't understand Roman culture, or even the Latin language, very well.
Loyal to the Position: They're loyal to whomever is wearing the Purple. This saves Claudius: the Germans are ready to kill him for his supposed complicity in Caligula's death, but the moment they realize that Claudius is the new Emperor, they forget all about Caligula.
Translation Convention: While the Praetorians speak The Queen's Latin, the Germanic Guards speak modern German.
Undying Loyalty: Unlike the Praetorians, the Germanic Guards take their duty to protect the Emperor—even Caligula—very seriously. This was another historical reason for using them; Iron Age German cultures held the trust between a ruler and his servants sacred, and breaking it was considered an unmanly disgrace.
Who Watches the Watchmen?: They're there to solve this problem. Since their only loyalty in Rome is to their Emperor, their job is to keep the Praetorians in check.

Characters / I Claudius Soldiers

The Praetorian Guard