Legends are a level above Allies and Henchmen; they have no affiliation to any Faction and can be a member of any Company. They are mercenaries who will sell their services to anyone - and will make sure you won't regret hiring them.
Bosses, on the other hand, are special and huge entities that allow their owner to fight them but also to control them. Create epic fights in which you're the awesome threat that a group of your friends will try to fend off!