We present VILENS (Visual Inertial Lidar Legged Navigation System), an odometry system for legged robots based on factor graphs. The key novelty is the tight fusion of four different sensor modalities to achieve reliable operation when the individual sensors would otherwise produce degenerate estimation. To minimize leg odometry drift, we extend the robots state with a linear velocity bias term which is estimated online. This bias is only observable because of the tight fusion of this preintegrated velocity factor with vision, lidar, and IMU factors. Extensive experimental validation on the ANYmal quadruped robots is presented, for a total duration of 2 h and 1.8 km traveled. The experiments involved dynamic locomotion over loose rocks, slopes, and mud; these included perceptual challenges, such as dark and dusty underground caverns or open, feature-deprived areas, as well as mobility challenges such as slipping and terrain deformation. We show an average improvement of 62% translational and 51% rotational errors compared to a state-of-the-art loosely coupled approach. To demonstrate its robustness, VILENS was also integrated with a perceptive controller and a local path planner.