I am going to assume your numbered variables are just to make this example easy to understand. If not: you should consider indexing a cell array instead.
As for you question: you can set the DisplayName property.
x1=rand(10,1);y1=rand(size(x1));
x2=rand(10,1);y2=rand(size(x1));
x4=rand(10,1);y4=rand(size(x1));
x3=[];y3=[];
h{1}=plot(x1,y1,'b','DisplayName','Plot 1');
hold on
h{2}=plot(x2,y2,'r','DisplayName','Plot 2');
h{3}=plot(x3,y3,'k','DisplayName','Plot 3');
h{4}=plot(x4,y4,'m','DisplayName','Plot 4');
legend([h{:}])
