To this day, no other legendaries have been more enjoyable to find and catch than the regi trio for me. As has been said, it was great that they were hidden behind some puzzles which you couldn't just directly solve. Heck, the first time I found the area in which you unlocked them in, I thought it was just empty, and didn't have a clue what to do untill I found the braille translation in the manual. The translating of all the braille eventually got kinda tedious, but so far, for me, they've been the greatest challenge to get, and that just made it more fun to catch them. It was a nice relief from just having to navigate through some area just to find the legendary at the end. I enjoyed it with Rayquaza, but that was because there was also some challenge to it. Unlike in a lot of the other games.
The hardest regi for me to catch is probably Regirock. It'd always been the one who took the most tries, and even though it was easy to get down on health, it was just never easy to catch. I guess it's all about luck sometimes, but still, it would just never stay down :p So I often ran out of Pokeballs or all my Pokemon fainted. Although, that's honestly also the one I like the best, so I guess challenge just appeals to me a lot of the time :D