The following is based on Van Buren and has not been confirmed by canon sources.
Athena is an incomplete power armor project pioneered by the Enclave in conjunction with Poseidon Energy. According to initial tests, it had defensive capabilities above and beyond any other infantry armor in use before the apocalypse.
Athena has not appeared nor is it mentioned in any published game. It was to appear only in Van Buren, the canceled Fallout 3 by Black Isle Studios. It is not certain if it will appear in any future Fallout game.
In Greek Mythology, Athena was the wise warrior goddess and defender of her city, Athens. She had a shield called the Aegis given to her by Zeus that was supposedly part of her unique and powerful armor.