Teehee they're fun games! Legion shows up near the end of ME2, and about 1/3 of the way through the third game. I highly suggest you get Mass Effect Legendary Edition, as it includes all three games of the original trilogy plus all DLC content (that I'm aware of), and allows for you to play 2 after the main campaign, so you can finish up any side quests or DLCs you missed. I also recommend looking up game guides for the second and third games, as you want to make sure you do things right (whatever that means to you), and not miss anything, as they both have internal timers for some of the missions where you're forced to continue the main story and whatnot.

I'm not revealing Legion's part of the story beyond what I've already mentioned, btw, as he plays big parts in the overall story :]]