The warrior lodges were initially encountered by the Sons of Horus and Word Bearers on the world of Davin, where in the future, the Warmaster would eventually fall to Chaos. This happened some sixty years prior to the events of the Horus Heresy and the legions involved decided to adopt the practises of the lodges wherein the warriors of the legions could freely voice their thoughts without paying attention to rank.
There are suggestions that the Chaplaincy movement allowed Horus and Lorgar to spread the warrior lodges to other legions in time. But which of the legions had such lodges? Below are a few notes that I thought I'd try to assemble from the Black Library publications as well as Forge World books.
Dark Angels: unclear, but doubtful that the lodges truly took hold in the way that Lorgar and Horus wanted. Even if Luther et al. later went down the chaotic route.
Emperor's Children: the Brotherhood of the Phoenix was introduced, but only the most elite of the legion were permitted to join it, rather than it being open to all.
Iron Warriors: The Dodekatheon served as a meeting place between masons and warriors alike to discuss designs, but was perhaps somewhat elitist as only officers tended to have time to attend.
White Scars: Certainly the book "Scars" demonstrates the existence of a warrior lodge element within this legion.
Space Wolves: No true lodges, but certainly the warriors met informally at moots of the Rout (etc.).
Imperial Fists: No lodges that I'm aware of.
Night Lords: Unclear.
Blood Angels: Unclear, but doubtful.
Iron Hands: Although I would have expected them to have one due to being in close orbit of the Sons of Horus, it appears they did not.
World Eaters: Macer Varren of the World Eaters is known to have forbade his company from joining the legion's lodges, so we assume that they had them, even if we don't know their name.
Ultramarines: Unclear, but doubtful.
Death Guard: The Seven Pillared Lodge.
Thousand Sons: Probably none??
Sons of Horus: The Quiet Order.
Word Bearers: Noted as having them invested from the outset along with the Luna Wolves / Sons of Horus.
Salamanders: Unclear, but possible.
Raven Guard: Doubtful that Horus and Lorgar had the time to establish the lodges once Corax took over the legion late in the crusade.
Alpha Legion: Who knows. Highly doubtful though as they kept outside influences minimal and Alpharius didn't take command till late on, but probably more than aware of lodges in other legions.
Therefore at least 7 legions with full blown lodges and perhaps more with lodges in some stage or other of gestation. Please feel free to correct any information above in case I've missed something!