Desde que atualizei o matplotlib, recebo o seguinte erro sempre que tento criar uma legenda:

/usr/lib/pymodules/python2.7/matplotlib/legend.py:610: UserWarning: Legend does not support [<matplotlib.lines.Line2D object at 0x3a30810>]
Use proxy artist instead.

http://matplotlib.sourceforge.net/users/legend_guide.html#using-proxy-artist

  warnings.warn("Legend does not support %s\nUse proxy artist instead.\n\nhttp://matplotlib.sourceforge.net/users/legend_guide.html#using-proxy-artist\n" % (str(orig_handle),))
/usr/lib/pymodules/python2.7/matplotlib/legend.py:610: UserWarning: Legend does not support [<matplotlib.lines.Line2D object at 0x3a30990>]
Use proxy artist instead.

http://matplotlib.sourceforge.net/users/legend_guide.html#using-proxy-artist

  warnings.warn("Legend does not support %s\nUse proxy artist instead.\n\nhttp://matplotlib.sourceforge.net/users/legend_guide.html#using-proxy-artist\n" % (str(orig_handle),))

Isso ainda ocorre com um script trivial como este:

import matplotlib.pyplot as plt

a = [1,2,3]
b = [4,5,6]
c = [7,8,9]

plot1 = plt.plot(a,b)
plot2 = plt.plot(a,c)

plt.legend([plot1,plot2],["plot 1", "plot 2"])
plt.show()

Eu encontrei o link que o erro me aponta bastante inútil no diagnóstico da origem do erro.