How do you create a legend for a contour plot in matplotlib?

Adding to this answer to make it less manual:

import numpy as np
import matplotlib.pyplot as plt
x, y = np.meshgrid(np.arange(10),np.arange(10))
z = np.sqrt(x**2 + y**2)
levels=[2,3,4,6]
cs = plt.contourf(x,y,z,levels=levels)

proxy = [plt.Rectangle((0,0),1,1,fc = pc.get_facecolor()[0]) 
    for pc in cs.collections]

plt.legend(proxy, [f"{lower:2.1f} - {upper:2.1f}" for lower, upper in zip(levels[:-1], levels[1:])])
plt.show()

You could also do it directly with the lines of the contour, without using proxy artists.

import matplotlib
import numpy as np
import matplotlib.cm as cm
import matplotlib.mlab as mlab
import matplotlib.pyplot as plt

matplotlib.rcParams['xtick.direction'] = 'out'
matplotlib.rcParams['ytick.direction'] = 'out'

delta = 0.025
x = np.arange(-3.0, 3.0, delta)
y = np.arange(-2.0, 2.0, delta)
X, Y = np.meshgrid(x, y)
Z1 = mlab.bivariate_normal(X, Y, 1.0, 1.0, 0.0, 0.0)
Z2 = mlab.bivariate_normal(X, Y, 1.5, 0.5, 1, 1)
# difference of Gaussians
Z = 10.0 * (Z2 - Z1)



# Create a simple contour plot with labels using default colors.  The
# inline argument to clabel will control whether the labels are draw
# over the line segments of the contour, removing the lines beneath
# the label
plt.figure()
CS = plt.contour(X, Y, Z)
plt.clabel(CS, inline=1, fontsize=10)
plt.title('Simplest default with labels')

labels = ['line1', 'line2','line3','line4',
           'line5', 'line6']
for i in range(len(labels)):
    CS.collections[i].set_label(labels[i])

plt.legend(loc='upper left')

Will produce:

However, you might also want to look into annotations for your own need. In my opinion it will give you a more fine grained control on where and what you write on the image, here is the same example with some annotation:

### better with annotation, more flexible
plt.figure(2)
CS = plt.contour(X, Y, Z)
plt.clabel(CS, inline=1, fontsize=10)
plt.title('Simplest default with labels')

plt.annotate('some text here',(1.4,1.6))
plt.annotate('some text there',(-2,-1.5))

You can create proxy artists to make the legend:

import numpy as np
import matplotlib.pyplot as plt
x, y = np.meshgrid(np.arange(10),np.arange(10))
z = np.sqrt(x**2 + y**2)
cs = plt.contourf(x,y,z,levels=[2,3,4,6])

proxy = [plt.Rectangle((0,0),1,1,fc = pc.get_facecolor()[0]) 
    for pc in cs.collections]

plt.legend(proxy, ["range(2-3)", "range(3-4)", "range(4-6)"])
plt.show()