1st gen, I'd have to say, hands down, Moltres. Even with the horrible 4x weakness to rock (that I did not know about for a long time, lol). I just loved the idea of being able to fly on a gigantic, flaming bird.
2nd gen, definitely, Suicune. This was my first legendary (i had crystal before I got yellow), and in many ways, one that I identify the most with. I have always identified well with dogs, my zodiac sign is water, and his ability from the anime to purify water, I like to help people whenever I can, so... I purify stuff in my own little way.
3rd gen... IMO, nothing too exciting, but... I must say that a shiny DD-LO-Rayquaza is damn fearsome to go up against, especially after a DD or two that it caught on a switch.
4th gen, Darkrai. I've always liked the darkness, as it's one of the few things that can often calm me, so... Yeah.