This page has information on how to capture the legendary Pokemon of the game. Manaphy and Phione will be found on a different page.
Dialga and Palkia should be the first legendary Pokemon you'll meet. Depending on what version you have (if you have Diamond, you'll battle Dialga and vise versa) to battle either Dialga or Palkia. This happens right after defeating Team Galaxy. The three legendary Pokemon Azelf, Mesprit and Uxie will appear since now either Dialga or Palkia will go berserk. When they calm it down, you'll soon be able to catch it. Like with most legendary Pokemon, you'll get only one chance to catch, but you actually can't save the game before you face it. They will be at LV47. To get the other, you'll have to trade for it.
The Three Legendary Psychic Pokemon:
To catch these Pokemon, you have to have faced either Dialga or Palkia after defeating Team Galaxy.
Azelf is found at Lake Valor. To arrive at Lake Valor, fly to Veilstone City and head south until you reach the Valor Lakefront. Once you've arrived at Lake Valor, surf to the cave in the middle known as the Valor Cavern. You only have one chance to catch it so save the game before battling it. Azelf is the sweeper Pokemon in the threesome. When you face it, it'll be at LV50.
Like Azelf, this Pokemon can only be fought after battling either Palkia or Dialga. Mesprit is first found at Lake Verity. To arrive at Lake Verity, fly to Twinleaf Town and head north and then west until you reach the Verity Lakefront. Once you've arrived at Lake Verity, surf to the cave in the middle known as the Verity Cavern. When you walk up to Mesprit, it'll immediately disappear and run around the land of Sinnoh. It'll run around like the three legendary dogs did in Pokemon Gold, Silver and Crystal, appearing randomly in grass all over the place. When you face it again, it'll be at LV50. The best way to corner it is to use the Marking Map on the Poketch to find its location.
Uxie is at LV50 when you first face it. It's found at Lake Acuity after battling either Dialga or Palkia. To arrive at Lake Acuity, fly to Snowpoint City and head west along the Acuity Lakefront. Once you've arrived at Lake Acuity, surf to the cave in the middle known as the Acuity Cavern. Like Azelf, Uxie can only be faced once so be sure to save before battling it. Uxie is the defensive one out of the trio.
Pokemon found after obtaining National Dex:
Regigigas is a new introduced member of the Regis who is also a Normal-type Pokemon. Unlike them, this one excels in almost every aspect except Special Attack. Regigigas can only be found after transferring Regirock, Regice and Registeel from the 3rd generation games over to Diamond and Pearl. Once this is done, Regigigas can be found in Snowpoint Temple at LV70.
Heatran is a Fire and Steel Pokemon. It's found at Stark Mountain. To reach it, you first have to team up with a female companion and make it through Stark Mountain. The girl trainer will then get what she wanted before leaving. She'll be at one of the houses in the Survival Area. Talk to her and return to Stark Mountain. Heatran will now be here at LV70 and like the others it can only be faced once so save before battling.
Giratina is a Ghost- and Dragon-type Pokemon that is found in the new lake beside Turnback Cave. Head inside and you'll see some arrows. Follow them and they should lead you to Giratina. It'll be at LV70.
Cresselia is like the three legendary dogs, since after you meet it it'll take off around the land. You have to chase it down and eventually if you do, you find that it's at LV50. To reach the island Cresselia is first on, talk to the family of people in Canalave City that mention about Full Moon Island. Then talk to the sailor near the house and he'll take you to Full Moon Island. This is where you can send Cresselia taking off around Sinnoh. Just like Mesprit, you can utilize the Poketch to track its location in Sinnoh.
Nintendo Event Pokemon:
In Pokemon Diamond/Pearl, like any other Pokemon game, there are special Pokemon that you can only get by going to a Nintendo Event. Below are the Pokemon:
After receiving the Membership Pass from a Nintendo Event, the hotel in Canalave City will be unlocked. Head inside and stay the night. While sleeping, Darkrai will annoy you in your sleep. When waking up, you'll see a diary with the location of Darkrai. Talk to the sailor in the southern part of the city and he'll take you to the island where Darkrai is located. Darkrai is found at LV40 and can only be battled once so be sure to save before encountering it.
Shaymin is like the Mew of the Sinnoh region with every one of its stats except HP almost the same. After receiving Professor Oak's Letter from a Nintendo Event, head over to the White Rock on Route 224. The route now will have been extended. Follow it all the way to the top right of the map to the end where you'll face Shaymin. It'll be at LV30.
Arceus is the god of all Pokemon. This Pokemon is has the highest base stats in all of the Pokemon. 120 in every stat. This beast of a Pokemon is a Normal-type but it changes with every plate you put on it. Being the god, it is at LV80 in the Beginning Dimension. After getting the Heaven's Pipe from a Nintendo Event, head up to where you faced either Dialga or Palkia (the Spear Pillar in Mt. Coronet). Play the Pipe and it will go bright and some stairs will appear. This is the Beginning Dimension. Save beforehand because soon as you step on to the platform, you start to battle the level 80 beast, Arceus.