How retentive do you want this list to get?
For actual Legion appearances (even a cameo), I would add:
Books of Magic (collects mini series. Mentions the 30th century, the LSH, and the Magic Wars. Cameo shot of Legion)
Flash: Dead Heat (XS appears throughout)
Greatest Stories Ever Told: Superman (Vol 1) (reprints Superman #156; Last Days of Superman story)
Green Lantern: Emerald Knights (reprints Green Lantern #99 and 100 with Legion guest appearance)
JSA: Darkness Falls (collects JSA #14 with a Mordru appearance and #15 with LSH HQ depicted)
Justice League Adventures (reprints JL Adventures #3 with Daxamites, #11 with Legion cameo, and #12 with Polar Lord)
Kingdom (pre-Crisis Lightning Lad, Dream Girl, Projectra, Colossal Boy, Composite Superman, Insect Queen, Superboy, and Supergirl appear.)
Legends: The Collection (Cosmic Boy appeared in this mini-series)
Supergirl: Many Happy Returns (reprints Supergirl #79, with appearances by Colossal Boy, Brainiac 5, and the Super-Pets)
Superman: Panic in the Sky (collects/reprints Action Comics #675, Superman: The Man of Steel #10, Adventures of Superman #488 & 489, and Superman [2nd series] #65 & 66. Appearances by Valor throughout in group shots)
Superman Transformed (reprints Superman [2nd series] #119, with a Legion appearance)
Superman: Whatever Happened to the Man of Tomorrow? (Legion appear)
Teen Titans: Beast Boys and Girls (Teen Titans [3rd series] #15, Brainiac 5 appears)
For alternate versions, parodies, references, etc. there are a whole lot more:
Amalgam Age of Comics: The Marvel Comics Collection (reprints: Spider-Boy #1 with appearance by alt universe Insect Queen and X-Patrol #1 with alt universe Ferro Lad/Man)
Batman: Collected Legends of the Dark Knight (reprints #38, Stupid Hero Club House and Bouncing Mite are depicted).
Bizarro Comics (Validus' foot appears in a sub-section of story one called “Bizarro X-Ray Three”)
DC One Million (reference to Lallor in #4; Lyle Norg mentioned in Starman 1,000,000)
Fanboy (collects Fanboy #1 and 2; parody book. Legion is mentioned but does not appear)
Flash: Race Against Time (Tornado Twins appear)
Greatest Stories Ever Told: Superman (Vol 2) (reprints Superman #167; Brainiac 5’s origin tied to Brainiac’s)
Greatest Stories Ever Told: Team-Up Stories (collects #178, Batman & Creeper, but cameo of LSH cruiser shadow in sky)
Green Lantern: Baptism of Fire (reprints Green Lantern #73. No Legion appearance, but Khunds appear)
Green Lantern: Circle of Fire (no Legion appearance, but Daxamite GL named Pel Tavin appears)
Impulse: Reckless Youth (30th century is depicted, but no Legion appearance)
JLA Versus Predator (no Legion appearances, but a Dominator appears)
JLA: World War III (collects JLA #38; Female Legionnaire appears in a crowd scene)
JLA: World Without Grownups (no Legion appearance, Inferno appearance)
JSA: Fair Play (JSA Secret Files #2; Mordru appears)
JSA: Justice Be Done (collects JSA #1-5; no Legion appearances, Mordru is featured)
JSA: Savage Times (JSA #41-44 Mordru is mentioned and in #45 Mordru appears)
JSA: Stealing Thunder (JSA #32, Mordru is mentioned)
JSA: The Return of Hawkman (collects: JSA #19 with mention of Mordru)
JLA: The Nail (Elseworlds story; Validus appears as a Green Lantern)
Return to Amalgam Age of Comics: The Marvel Comics Collection (collects Exciting X-Patrol #1 with alt universe Ferro Lad/Man and Spider-Boy Team-Up #1 with alt universe LSH team)
Starman: Times Past (reprints Starnan [2nd series] #28, no Legion appearance, mention of Daxam/Valor)
Superman: Our Worlds at War #1 (reprints Superman [2nd series] #171, with a Fatal Five appearance, but only "hard light" beings, not the real group)
Superman: Our Worlds at War #2 (reprints Wonder Woman [2nd series] #172 Daxamites, Dominators, Gil’dishpanians, and Khunds appear)
Superman Versus Aliens (reprints Superman Versus Aliens #1; which establishes that Time Trapper’s pocket universe didn’t exist)
Wonder Woman: Paradise Lost (no Legion appearances; reprints #172 Daxamites, Dominators, Gil’dishpanians, and Khunds appear, 174 & 175 Inferno appears)