Mew- I feel like the original Mythical deserves a spot because it was appropriately mysterious and had a lot of buildup and lore to its backstory. It was such an enigma, in fact, that not even Nintendo knew that Game Freak had programmed it into the games! This, by the way, ended up playing a part in Pokemon's popularity, since the games' sales skyrocketed once people discovered there was a hidden character. Pikachu may be the mascot, but Mew was truly the spark that got this franchise started.
Arceus- I've always been fond of this guy, but Legends is what really cemented it as a favorite. The idea that Arceus is actually an immensely powerful and incomprehensible but ultimately still benevolent Eldritch Horror and that the creature that we interact with is just a small fragment of it is just so cool to me for whatever reason.
Pecharunt- This guy was a very welcome return to when Mythicals were actually given their own sidequests and stories instead of just being gifted to you without any explanation or lore to speak of, and let me tell you, he did not disappoint. I especially love the little detail that if you send out any of the Loyal Three to battle Pecharunt he gets indignant that you would dare to turn his own minions against him, and if you send out Ogerpon to battle him she gets furious upon seeing the true cause of her centuries of loneliness. And yes, it was very cathartic when I defeated Pecharunt with my Ogerpon