A lot of people missed Legion's post credit scene because TV shows doesn't usually do that sort of thing. So if you didn't catch it, here's what happened. Spoilers ahead, obviously if you haven't seen the whole show yet.
A weird flying ball thing steals a tiny David. As twists go that's... that's a thing the show did.
I've addressed a number of questions that Legion needs to answer, including that, and series' creator Noah Hawley seems to suggest that this might be related to the 'Equinox,' something Devision 3 talk about preparing earlier in the show.
There's also another detail:
As the probe thing scans David you can see a woman walk past in the door. Given the show built a season out of teasers and clues it seems unlikely that's just a random extra wandering past. It's a very hard to miss red dress for starters and she seems to also appear slightly weirdly (although I might be going mad at this point). It could be Melanie Bird for... reasons but as I said, this is a show that rarely does anything without reason.
We shall see.