One way is to pass the graphics objects (i.e., lines, etc.) in as inputs to legend:
figure()
h1 = plot(1:10);
hold on
h2 = plot(2:11);
h3 = plot(3:12);
% legend for h2 and h3 only
legend([h2 h3],{'h2' 'h3'})
Another way would be to set the HandleVisibility of the objects you don't want in the lengend to 'off':
figure()
h1 = plot(1:10,'HandleVisibility','off');
hold on
h2 = plot(2:11);
h3 = plot(3:12);
% no need to supply [h2 h3] as the first argument this time
% (probably still a good idea though)
legend({'h2' 'h3'})
