My favorite group of cardinality greater than the continuum is the group of field automorphisms of the complex numbers.
This is a very large and interesting group: not only does it have cardinality $2^{\mathfrak{c}} = 2^{2^{\aleph_0}}$ (to the AC patrol: yes, I'm assuming the Axiom of Choice here), it has this many conjugacy classes of involutions, which follows from (the affirmative answer I received to) this MO question. (This is also climbing my list of most frequently made errors by veteran mathematicians. I have watched many smart people claim that it follows from the Artin-Schreier Theorem that every index $2$ subfield of $\mathbb{C}$ is isomorphic to $\mathbb{R}$. The cardinal number by which this statement is off is pretty staggering.)
It's sort of a less fun answer, but: there are certainly groups of every infinite cardinality. If you want to be slick about it, this follows from the Lowenheim-Skolem Theorem in model theory (to the AC patrol...), since the theory of groups has a countable language and admits infinite models. One example is that the free abelian group (and also the free group) on an infinite set $S$ has cardinality equal to that of $S$. Moreover, the group $\operatorname{Sym} S$ of all bijections on an infinite set $S$ has cardinality $2^{\# S} > \# S$.
You can go on to construct your own favorite examples. E.g. there is a field $F$ of every infinite cardinality $\kappa$ (e.g. a rational function field over $\mathbb{Q}$ in $\kappa$ indeterminates) and for all $n \geq 2$, the group $\operatorname{PSL}_n(F) =
\operatorname{SL}_n(F)/\text{center}$ of $n \times n$ matrices in $F$ with determinant $1$ modulo scalar matrices with determinant $1$ is a simple group of cardinality $\# F$. (This is a fun example because we also know all possible orders finite simple groups...but that's just a little bit harder!) All of these are fairly natural examples, I think.