A Dreadnought is a Space Marine who has proven himself invaluable to the Imperium. Therefore, he is implanted into a hulking robotic armoursuit soon after he is mortally wounded, usually only if he is dismembered, or his implants cannot handle the sheer bulk of his wounds. Because the knowledge to make new Dreadnoughts has long been lost, it is one of the greatest honors any Space Marine can have bestowed onto him.
Terminator armour is officially called Tactical Dreadnought Armor, and the privelidge of using it is just below full dreadnought status.
The Grey Knights chapter sees Dreadnought status as a dishonnor, their final resting place is to be a Masoleum on Titan set aside just for the Grey Knights. This is not to say that there are no Grey Knights Dreadnoughts, just that they are few and far inbetween. Grey Knights dreadnoughts may have the "holy hull" upgrade, in which the hull is inscribed with scripture verses, holy sigils, etcetera, to make them unapproachable to Daemons.
Chaos dreadnoughts are feared, not revered, and rightly so, as they are quite mad. Rather than having devotion and faith to the Emperor, Chaos Marines tend to have their minds immersed in bloodlust or hunger for carnal experiences. Thus, the centuries-long entombment in a dreadnought sarcophagus results in insanity. They are tied down during transit to avoid them attacking their allies, and only unchained to unleash them when enemies are present. They can have special Chaos sigils painted on them that grant them power from the Chaos God it represents.
Ork dreadnoughts (or dreads, as they call them) are more clumsy than the other races mechs. They require the attention of a Mad Dok and a Mekboy to be constructed and maintained, as they implant a (relatively healthy) "Boy". The other way they obtain dreadnoughts is... cheating! they build the chassis, and instead of intergrating a warrior into the systems, he (or it) uses switches, levers, and dials to pilot his machine. This is called a "Killa Kan."
The Eldar forgo the body of a pilot, instead integrating the very soul of a fallen warrior, and nothing else into a wraithbone walking construct. Man-sized constructs are known as Wrathguard, and dreadnought-size constructs are called Wraithlords. Only particularly strong souls can power and control a Wraithlord.
The Furisio pattern dreadnought is meant for close-combat, sporting a pair of Dreadnought close-combat weapons instead of a ranged weapon on one arm. This pattern is used in the computer game "Dawn of War" and expansions, simply called a "Dreadnought"; the unit can then have its right arm upgraded to an assault cannon or twin-linked lascannon to make a regular Dreadnought.
The Mortis pattern is the polar opposite of the Furisio pattern. it sports two long-ranged heavy guns. This pattern is used in the computer game "Dawn of War" and expansions, under the name "Hellfire Dreadnought".
The siege dreadnought has a mining drill and an inferno cannon mounted on the same hand, and is meant for breaching enemy fortifications. The heavy drill punches through an enemy bunker, then the inferno cannon is fired, filling the bunker with liquid fire.
A very old Dreadnought, with great wisdom and combat prowess. While being some of the finest Dreadnoughts in the Imperium, they are so old that parts that they use are no longer manufactured, thus maintanence is extremely difficult. Many Venerable Dreadnought are destroyed, and are replaced by newer ones. This makes them special, rare, and Valuable.