In Pokemon HeartGold, what should I use my masterball on?

Do NOT use it on Lugia! Save it for when you encounter one of the Legendary Dogs. They try to run away when you see them, and they are very hard to find after, so use the Master Ball on one of those suckers.

Use it on kyorge, it is easier to catch all the other legendaries thanks to the dusk ball because every other legendary can be found outside at night or in a cave where the dusk ball is useful. I have caught all the dogs, birds, and mewtwo using the dusk ball. While kyorge isn't in a cave and cannot be caught outside at night

Either Raikou or Entei because they flee. The legendary birds, Lugia, Suicune (after you've been to all of it's locations in order), Kyogre, and Mewtwo don't flee so it doesn't matter how many balls it takes to catch them (unless you run out of balls).

lugia of course

kyogre,you can get it in the game :)