Nower days, I always challenge myself to capture every pokemon avaliable with a pokeball, even on legendaries. So I don't really use the Master Ball.
Back in the Hoenn days, I was crazy about catching Pokemon with Master balls, but it was after I played Pokemon XD Gale of Darkness and saw the legendary birds being released out of ordinary pokeballs, that I decided to catch pokemon in ordinary pokeballs. This challenge has been accomplished many times, and will continue to do so in future pokemon games.
I used to always use the Masterball on the first Pokemon I saw when I got it... Then I progressed to using it on the first Legendary I saw, and later, on the roaming Legendaries. Now, I never use anything stronger than a Pokeball, and the occasional Great Ball when I run out of Poke balls on Legendary. I managed to get through HG with every single Legendary, and every pokemon I got, with a Pokeball. Except for that darn Shiny Gyrados. I ran out of Pokeballs and had to use a Great.
I usually keep my Master Ball to use on a "roaming" Legendary (i.e. Entei) because they flee after one round of fighting and are a pain to find again. If not that, then I use it on a Legendary that you have to catch at a ridiculously high level (i.e. Giratina in Diamond and Pearl).
I use it on the main legendary pokemon. It's gives me more of a challenge to try and catch the other legendary pokemon around without it, and I like that. It makes me more proud to know I caught them without much help.