This does what you want and overcomes some of the problems in other answers:
import matplotlib.pyplot as plt
labels = ["HHZ 1", "HHN", "HHE"]
colors = ["r","g","b"]
f,axs = plt.subplots(3, sharex=True, sharey=True)
# ---- loop over axes ----
for i,ax in enumerate(axs):
axs[i].plot([0,1],[1,0],color=colors[i],label=labels[i])
axs[i].legend(loc="upper right")
plt.show()
... produces ...
