Like many other people, I used mine on Thundurus. I know you can do the Mean Look thing, later use a Quick Ball, and all that... But I'm too lazy. I just wanted to capture the thing.
You can get two master balls in game the first from the professor (or whoever gives it to you) the 2rd is from the trading guy in the Pokémon center after 50 trades on the GTS or GTS negotiations.
The 1st one was on Thundurus (like on all other games I save the master ball for the toughest pokemon to catch and runners take to long to catch.)
The 2rd one was on Landorus simply because it was the last legendary remaining (should have used it on Kyreum who was a major pain with its endeavor knocking my entire team down to 1 hp each.)
The very fist game I played was Sapphire, and I used it on a Lv. 40 Hariyama in Victory Road. Yeesh. Nowadays, though? Anything roaming is the best idea.