A note on visibility as the above answers, while useful, didn't see me successfully place the legend below the plot and others may come across this too.
Where the plot_height or height are set for the figure as so:
p = figure(height=400)
But the legend is created as in Despee1990's answer and then placed below the plot as so:
legend = Legend(items=legend_it)
p.add_layout(legend, 'below')
Then the legend is not displayed, nor the plot.
If the location is changed to the right:
p.add_layout(legend, 'right')
...then the legend is only displayed where the items fit within the figure plot height. I.e. if you have a plot height of 400 but the legend needs a height of 800 then you won't see the items that don't fit within the plot area.
To resolve this either remove the plot height from the figure entirely or specify a height sufficient to include the height of the legend items box.
i.e. either:
p = figure()
or if Legend required height = 800 and glyph required height is 400:
p = figure(plot_height=800)
p.add_layout(legend, 'below')