Generation-specific, for Kanto, I'd have to say Articuno; not only is it an Ice-type, (which helps it a little, in my liking) but it was also the first Legendary Pokemon I ever caught, in Pokemon Blue, when I first started playing the Pokemon games.
For Johto, there are a couple; Suicune because its a very nice Water-type Pokemon; its appearance is awesome, and in the 3D games, it looks great. ^^ The second would be Ho-oh, because it is probably one of the closest Pokemon to how people foresee the mythical creature, the Phoenix; they happen to be my most favoured mythical creature, and though Moltres was the original Fire/Flying Legendary Pokemon, I much prefer the look of Ho-oh.
For Hoenn, it isn't really difficult to choose; the Lati duo win it pretty solidly. Latias and Latios are probably my favourite combination of types; Psychic and Dragon. Though Hoenn wasn't amazing on the game play side, (for me) it did have a nice selection of Legendary Pokemon to choose from.
Now, for Sinnoh... I'm probably going to go with Cresselia, because it has one of the most interesting Legendary Pokemon designs I've seen. My only issue with it would have to be that you just have to chase it down... XD;;
Overall, though... I'd probably say that my definitive favourite Legendary Pokemon would be... Latias. Its a fun Pokemon, and though it is a pain to catch, I wouldn't change anything about it.
On top of that, its normal colour is pink, so... XD