I like most legendaries so this is a hard topic to answer. The quality in the early gens was solid but they had fewer legendaries. The fourth gen had some of my favorite legendaries but it also had some of the most boring and forgettable legendaries. Same with gen 5. Gen 3 was the last gen where I liked all of the legendaries.
Gen 4, because it was like that was supposed to be the last game so they went all out with legendary Pokemon. The themes of creation, time, space, and three main points to living things was great. The three points being knowledge, emotions, and willpower. Everything just tied in wonderfully. Then they upped the ante even more and threw in badass Giratina to throw anti-matter up in the mix. Then there's dark/light themes with Darkrai/Cresselia, though it could be more like dark/light side of the moon since one causes nightmares while the other ends it/heals. Shay even pops in as a nature legendary. So many to choose from, you're bound to find one you think is awesome.
Gen 4. I really liked the "origin story" and everything, and I loved the mind trio thing, and I loooove Palkia... Love all those guys <3
I have to agree with you on that for over all story
To bad I misread the topic and voted gen 1 as my favorite legend is Zapdos didn't realize untill later that it was Overall legendaries not which one had your favorite...(on a whole gen one legendaries never were that coherently organized)