Cataphracts are NOT the ancestors of medieval heavy cavalry, they had no stirrups and holded their lances with two hands. But yes, definitly a special force. To mention here too is the Praetorian Guard.
Varangian Guard, the Janissaries, Landsknechte, Prussian heavy infantry and heavy cavalry during the Seven Years' War, Garde des consuls and Garde Impériale until 1812 and the Légion étrangère, the ancestor of any modern special force.
Just to name some.