Title for matplotlib legend

In case you have an already created legend, you can modify its title with set_title(). For the first answer:

legend = plt.legend(handles=[one, two, three], loc=4, fontsize='small', fancybox=True)
legend.set_title("title")   
# plt.gca().get_legend().set_title() if you didn't store the
# legend in an object or you're loading a saved figure. 

For the second answer based on Axes:

fig, ax = plt.subplots()
ax.plot([0, 1, 2], [0, 1, 4], label='some_label') # Or however the Axes was created.
ax.legend()
ax.get_legend().set_title("title")

Just to add to the accepted answer that this also works with an Axes object.

fig, ax = plt.subplots()
ax.plot([0, 1, 2], [0, 1, 4], label='some_label') # Or however the Axes was created.
ax.legend(title='This is My Legend Title')

Add the title parameter to the this line:

legend = plt.legend(handles=[one, two, three], title="title",
                    loc=4, fontsize='small', fancybox=True)

See also the official docs for the legend constructor.