I am plotting data in a typical MATLAB scatterplot format. Ordinarily when plotting multiple datasets, I would use the command \'hold on;\', and then plot each of the data,
You should be able to set the DisplayName property for each plot:
figure
hold on
plot(...,'DisplayName','DataSet1')
plot(...,'DisplayName','DataSet2')
legend(gca,'show')
http://www.mathworks.com/help/matlab/ref/line_props.html
Side Note: I've found a lot of little tricks like this by getting the figure to look the way I want, then choosing the Figure's "File" menu option "Generate M-File..." and inspecting the generated output code.