I just recently purchased a 2 western digital 250gb HDD (http://www.newegg.com/Product/Product.asp?Item=N82E1682...). I'm setting them up and I have a few questions. I mounted them and the mobo (asus p5b) came with a serial ATA cord that I plugged in to both of them and then noticed there is also a legacy power connector on both HDD's also. So what should I use the SATA power or legacy?
Yep exactly, i am using the sata powers on the same 2 hds and have had no problems but it is up to you, the reason they have both is due to some old PSUs nto having the SATA power, if you have it use it!!
You will get some benefit from using the SATA power connector -- I think it will have better power management/power saving -- although you probably wouldn't notice that other than a penny or two every few months on your electric bill.
As a side note: I believe a true SATA power connector has more wires going to it (includes an orange wire from your power supply most likely) than a PATA connector. So even with a PATA to SATA adapter, there's no way to get that orange wire if it doesn't exist on your PSU -- so I think some feature must still be missing.
My logic: even when I don't know if it has any true benefit, use the "most advanced/newest" thing that my system will support -- so if you've got SATA cables from your power supply, use em. No problem, though, if you can't.