Which legendaries to power up?

Honestly? I'd up all of them. Lugia is the only maybe because you've got a Mewtwo already and Lugia's attack stat isn't that great.

Entei: Most people shit on Fire types, but I've found it surprisingly nice to have 2-3 decent Fire pokemon handy.
Groudon: The uncontested best ground pokemon. No-brainer.
Kyogre: See Groudon, except water.
Rayquaza: Excellent generalist, can't go wrong with upping a generalist.

Personally I would get Earthquake on Groudon despite Solar Beam having better neutral damage and similar damage against targets weak to ground but that's mostly because I think the best Ground pokemon should just have ground moves.

Powering up the others to at least lvl31 takes preference over powering beyond 35 on your initial 3. At lvl30 pokemon are 90% as effective as they are on lvl40, powering past lvl30 is only worth it if you're drowing in stardust or have enough stuff on lvl30 already.

I'd get EQ Groudon and Kyogre to 30 before all else

I'm looking at the Kyogre first. Entei is very nice and will be useful against the Regis, but I find that Flareon takes care of business and with a higher attack stat too and easy-to-grab candies.

If you don't have rare candies right now, I'd just save up until we find out what the next raid boss is going to be. Then you can power up a legendary that is a good counter to that raid boss.

If Lati twins: Rayquaza
If Golems: either Groudon (the 14/15/14 one) as an allrounder against Regirock/Registeel, Entei as a top counter against Regice/Registeel, or Kyogre against Regirock.
If the beasts return: Groudon (again, the 14/15/14 one) as an allrounder against 2 out of the 3 or Rayquaza
If the birds return: Save the rare candies as your current powered legendaries are good enough, or power up whatever you like the most.