When you're not paying for a rite of war via a Legion Praetor, then the Centurion, or one of the consuls, the lesser character (but still powerful) of the Centurion is the way that you're going to go in the absence of a named HQ.
At half the base cost as a praetor, the centurion is a nice option for players not wanting a points sink in to an HQ. Equally, the vast array of upgrades and possible consul options can make the points cost rapidly climb upward.
I'll go through some builds for each consul type in turn with a few notes thrown in. Overall, the choice of consul upgrade is a matter for what type of army you're going to construct. Will it be a close combat one, a hail of fire type, or something else altogether? Choose accordingly!
Legion Centurion, terminator armour of your choice, combi-weapon, power fist (97 points)
A simple option to attach to a terminator squad, no more, no less.
Legion Centurion, jump pack, power weapon, melta bombs, artificer armour (100 points)
This one is to accompany an assault style squad, but note its more expensive than a terminator! Add a refractor field to taste.
Chaplain, artificer armour, refractor field (105 points)
Give a squad fearless and hatred. As with the centurion options, think about throwing in a jump pack or equipping as a terminator if that is the way you want your detachment to function.
Master of Signal, artificer armour, refractor field (105 points)
This is a very tactical guy, with the ability to call down a bombardment style attack on one of the game turns, as well as granting +1 BS to a nearby unit, plus the ability to have deep strikers come down next to him with ease and draw line of sight for barrage weapons. Place within a large support or heavy support squad or one that is going to unleash Fury of the Legion and you should be pleased.
Legion champion -- equip as you would a Legion centurion, and gain the benefit of increased WS and one of the weapons being master crafted. A simple upgrade option for the champion type really.
Vigilator (95 points)
This is the scout commander with a nasty sabotage skill up his sleeve. A couple of these could prove really rather useful!
Librarian Level 3 (135 points)
This is the base cost for a level 3 psyker and the only way a legion can play psyker power (assuming you don't have other characters along for the ride). Choose a single psychic discipline and be happy that you've violated the Nikea accords (or not, if you're playing a pre- Nikea council army). Equip to taste with terminator armour and enjoy your force weapon! NB: cannot be a compulsory HQ!
Forge Lord with conversion beamer (120 points)
This is the tech marine commander. I've kept this one simple with just a conversion beamer as an upgrade. But clearly, one could mess about with a lot of different options here as they can select from anything a centurion can as well as anything a tech marine can!
Primus Medicae (85 points)
The apothecary commander, with an odd rule to gain extra victory points (presumably from salvage of gene seed in a narrative sense). Equip to taste.
Siege Breaker, 3 phosphex bombs (125 points)
Add tank hunter and wrecker to any attached unit - job done for a heavy weapon marine. Add further equipment to taste, subtract of the phosphor bombs if you think you're not going to utilise them. Plenty of neat options to think about here.
Moritat (85 points)
A lone killer. The chain fire attack rule means he might just carry on firing his weapons for a very long time - but he needs to get in position to do so. I'd suggest equipping with a jump pack and some serious pistol power (gunslinger style) -- but beware of the plasma pistol - it might just kill him in the turn that chain fire is unleashed. Take things like artificer armour and refractor fields to help him out.
POST-FAQ Update: double plasma pistols are no longer favoured here as a roll of 1 or 2 can cause an overheat and cease the chain fire. Hence this guy is not what he used to be.