The Thallax are cyborg shock-troops from the Ordo Reductor, the branch of the Mechanicum who specialist in Siege Actions. Thallax are best described as mini-Dreadnoughts, only with less prestige than their venerated cousins. They have a person's head and spinal cord removed and implanted into the Thallax chassis (Think Robo-Cain from Robocop 2, only less drugs and more brainwashing). In short they can be summed up as being the AdMech's equivalent of Space Marines.
Despite having only a 4+ armour save and WS3 , these things have three(!) wounds and T5 to compensate. The Thallaxi can be used in squads of three minimum and can be equipped will all sorts of goodies like Multi-Melta's, Multilasers, Phase-Plasma Fusils, Photon Thrusters and Irad-cleansers to wipe the board with those presky 3+ T4 legionaries.
Thallaxi also posess Djinn-Sight, which actually reduces the benefits of ANY cover save your opponents have by -2 (4+ becoming a 6, 5+ being ignored entirely, and so on). Tears of rage from legionfags ensured. On top of that, infiltrator units may not be set up within 24" of any Thallax, regardless of line of sight.
The Thallax are the first full Adeptus Mechanicus release since Rogue Trader, as part of the Horus Heresy line.
It is unknown whether they're still used by the 41st Millenium, or if the Thallax were Heresy. INQUISITORIAL CORRECTION: White Dwarf 67 mentions them still existing in the 41st Millennium as the main forces of the Ordo Reductor. Clearly, heretical subversives are attempting to poison the thoughts of devou/tg/uardsmen to turn the Imperium against this useful tool.
Ever since the third and final book of the Istvaan Campaign, Extermination, got released, the Thallax Cohorts and other Mechanicum goodies have their own Army List, called the Taghmata Omnissiah. Now you can actually field a Mechanicum army. Neckbeards globally creamed their pants, thinking wishfully that some day, Forge World releases the Army List for use in 40k.
Dream on. The army is legal for 40k. Rumours are that IA 14 will have rules for them in 40k.