I actually find that in Pokemon Colloseum, if any of the legendary dogs are at 1 health and asleep, they are too weak to be captured with an ultra ball. When it's asleep, you only want to lower it's health to a quarter, and no lower. If it's awake, you want to bring it to borderline between red and yellow.
Otherwise, the pokemon tends to be too weak to be captured with an ultra ball, but too strong to be captured with a great ball.
Ever try capturing a level 3-5 caterpie with an ultra ball? I don't think it's actually possible.
Never mind that last part, I'm pretty sure it's not true for D/P/Pt after having tested it two minutes ago against starly and bidoof. Maybe the capture mechanics changed between games, or maybe I'm mixed up.