Mega Units are the biggest and strongest (but slowest) units in the race. All of the races have one, you can train them in buildings that can only have a limit of one like the Knack for the Myriad, Eschaton for the Wardens and Research Lab for the Consortium. Due to the Mega Units enormous size and ultimate firepower, you can only train one Mega Unit at a time. Example of Mega Units and where they're built are:

Left=Earthshaker Center=Battlemite Right=Eschaton