Well, I have a bunch of favorite legends... okay, no I don't, but I might as well list all of my favorite legends from each gen.
Gen 1: Mewtwo- Hoo boy, Mewtwo. He was the original Pokemon basass. The first Lv. 70 to ever grace us with its presence, and the most powerful Psychic. His portrayal in the fanfic: Latias' Journey actually cemented it in. It's unusual for a fanfic to nail in a favorite, but it was pretty close to the original character, from what I saw.
Gen 2: Ho-oh- Ho-oh, for some reason I like it better then Lugia, but they're pretty close together in my favorites list. Ho-oh, the symbol of life and rebirth, the reviver of the legendary dogs, and the most mythical creature in the anime. I can't explain why I like it, I just like the design, I guess.
Gen 3: Regirock, Regice, and Registeel- These three are simply amazing. These three pokemon were actually dangerous, in their legends, requiring everyone to seal them away. I love the appearance of these three, being the pokemon equivalents of titans, I believe. Their battle theme was amazing as well, and it was an enjoyable experience hunting them down, and getting them.
Gen 4: Giratina- Whether it's the devil, or the god of nothingness, it's still hard core. I love the design, despite the fact that it isn't simple. It's powers are also some of my favorite, being both a Dragon and a Ghost, I thought that was cool. And it's the first pokemon to willingly attack a human with intention to do massive harm through its own will, and that was a nice change of things.
Out of these four, Giratina is my favorite. Then Ho-oh, then Mewtwo, then the Regis, but all six are awesome.