This is relatively simple if you use pylab (included with matplotlib) instead of matplotlib directly. Start off with a list of filenames and legend names, like [ ('name of file 1', 'label 1'), ('name of file 2', 'label 2'), ...]. Then you can use something like the following:
import pylab
datalist = [ ( pylab.loadtxt(filename), label ) for filename, label in list_of_files ]
for data, label in datalist:
pylab.plot( data[:,0], data[:,1], label=label )
pylab.legend()
pylab.title("Title of Plot")
pylab.xlabel("X Axis Label")
pylab.ylabel("Y Axis Label")
You also might want to add something like fmt='o' to the plot command, in order to change from a line to points. By default, matplotlib with pylab plots onto the same figure without clearing it, so you can just run the plot command multiple times.
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