When plotting several lines in Matlab, I have become aware of how hard it was to see the colours in the legend. Based on this matlabcentral question I found an easy way to control the line thickness in the legend.

hold on;

[legh,objh,outh,outm] = legend('First','Second','Location','Southeast');
set(objh,'linewidth',2); %%<-- set legend line thickness to 2

Or just the following after you define your legend:

% legend('First','Second','Location','Southeast');

[legh,objh,outh,outm] = legend();