I use Quick Balls, Luxury Balls, Premier Balls, Great Balls, Timer Balls, Dusk Balls & Ultra Balls on Legendary Pokemon my absolute pet hate is seeing any Legendary Pokemon caught in the regular Poke Ball.
I am a firm believer in using the Master Ball on Legendary Pokemon only but I mostly use Ultra Balls if I want to save the Master Ball for an important Legendary.
I caught Giratina & Cresselia in a Luxury Ball in Alpha Sapphire, Moltres in a Dive Ball in X (purely by accident), Ho-Oh & Groudon in a Premier Ball in Omega Ruby, Kyogre in a Dusk Ball in Alpha Sapphire, Suicune in a Net Ball in Colosseum, Zapdos in a Great Ball, Articuno in a Nest Ball and Moltres in a Timer Ball in XD: Gale of Darkness and my only critical capture on a Legendary was Koraidon in a Quick Ball in Scarlet.