I usually try to save my Master Ball for, yeah, the running legendaries. Basically, I'm impatient and easily frustrated, so seeing a legendary only to have it run away before I can do much of anything (considering it always takes me 1029801 different balls to catch a legendary -- just because of my luck) is not cool in my book. Yeah, they're a bit cheap (the running away part, at least), but I'd rather just spent two seconds of my time catching them instead of hours. The Master Ball is precious, yeah, but my time's even more so, I think. Especially when I've got Pokemon I could be training instead. >_O
So, that's one of the gerbils in GSC (whichever is annoying me the most, if I don't just clone and catch through Silver), Lati@s in Ruby/Sapphire (I don't own Emerald. Yet.), the gerbils in FrLg, and Cresselia in DP. (I didn't have a hard time catching or encountering Mespirit for some reason. Cresselia was a different story, of course.) For RBY, I just save it for Mewtwo. If I don't just clone it via the MissingNo. trick and Master Ball the crap out of the stuff I find along Cinnabar's coast for awhile out of sheer boredom.
With standing legendaries, I don't mind. They don't run away, so it's more satisfying a challenge to actually stand and fight them until I can finally get them to stay in the blinking ball.