A Multiscale generalized $hp$-Finite Element Method (MSFEM) for time harmonic wave propagation in bands of locally periodic media of large, but finite extent, e.g., photonic crystal (PhC) bands, is presented. The method distinguishes itself by its size robustness, i.e., to achieve a prescribed error its computational effort does not depend on the number of periods. The proposed method shows this property for general incident fields, ...