Here are a couple of mine (note that I use Colourwheel's sixy overhaul, so most of the legionaires in my game are female)
I was making my way north from Leyawiin, towards the little house you get for helping Mazoga become a knight. A bit before the house, I came across an Imperial Legion horse just standing in the middle of the road. Finding this odd, I started searching for his Legionaire. I eventually found her, dead, http://fencedude.com/Oblivion/ImperialLegion1.jpg. I found this odd, because there were no creatures in the area, no bandits, no nothing. Only thing I found was a moderately unhappy mudcrab. The mystery of the dead legion soldier was never solved. (though her horse did help me get to Bravil faster than I expected!)
More recently, I was escorting Martin and Jauffre to Cloud Ruler Temple. We'd turned off the main road between Chorrol and Bruma, and headed up that side track that connects to the north side of Bruma. As we passed Bruma's western wall, I saw an Imperial Forrester in active combat with something, shooting arrows like mad. I rushed up to help and found her...http://fencedude.com/Oblivion/ImperialLegion2.jpg They both completely ignored my party until finally one of them died, and the other ran off into the mountains.