The first company of the Sons of Horus wore black armour. Not really a veteran thing but they used gold dipped skulls as like a medal I think, which is just awesome.
On the subject of the Ultramarines, I like the story of how the red helmets became a veteran thing. Basically in the Night Lords legion, if a legionnaire was marked for censure their gauntlets were painted red (in the Night Lords, censure usually meant execution...) the Ultramarines adopted this, and made a red helmet their mark of censure. During the battle for Calth, one marine who was marked for censure, Thiel, ended up being such a badass they changed it from a mark of censure to the mark of a veteran. Which is awesome