xmenevolution

The catchable legendary Pokemon in the game without cheating are: Regirock, Regice, Registeel, Latias, Kyogre and Rayquaza. All the other legendary Pokemon need to be traded from other versions or get them using a cheating device.
Those which you can catch in other versions and trade are: Articuno, Zapdos, Moltres, Mewtwo, Raikou, Entei, Suicune, Latios and Groudon. For Mew, Ho-oh, Lugia, Celebi, Jirachi and Deoxys you'll need a Gameshark or Action Replay cheating device.
Now for those that you can catch in Sapphire, here are the locations:

Regirock: Desert Ruins on Route 111
Regice: Island Cave on Route 105 (small island on the left side)
Registeel: Ancient Tomb on Route 120
Latias: Anywhere in Hoenn (After beating the elite4)
Kyogre: Cave of Origin in Sootopolis City
Rayquaza: Sky Pillar on Route 131 east of Pacifidlog Town (After beating the elite4)