One way is to store the handles to your lines as you create them and make a legend based on a subset of the lines:
figure();
my_lines = [];
my_lines(end+1) = plot(1:10);
hold on
my_lines(end+1) = plot(2:11);
my_lines(end+1) = plot(3:12);
legend(my_lines([1 3]),{'first' 'third'});
A similar way is to only store those handles you want to use in the legend:
figure();
my_lines = [];
my_lines(end+1) = plot(1:10);
hold on
plot(2:11);
my_lines(end+1) = plot(3:12);
legend(my_lines,{'first' 'third'});
