What a topic! I used to be a big believer in assigning genders to the Legendaries that don't have one, but nowadays I'm not so sure. I'll just jot down the ones I can still think of.
Considering how there are multiples of the Legendary birds (and Lugia in the anime), I honestly think those could be either gender like Heatran. Same for certain Mythicals like Mew, Celebi, Jirachi, Shaymin, Victini, Marshadow, Zeraora and Zarude - as well as Type: Null and Silvally as artificial creations, and the Ultra Beasts. Meloetta, Diancie and Magearna (at least in personality, because she's an automaton) are always female in my mind, and Mewtwo, Ho-oh, the Legendary Beasts, Rayquaza, the Swords of Justice, Manaphy, Darkrai, Hoopa and Volcanion are always male. The rest, I haven't thought of.
Now, there are also a few whom I think are truly genderless, or at least have a gender beyond our understanding. Those would be the Regis, Deoxys, Arceus, Kyurem, Necrozma, Meltan/Melmetal and Eternatus.