That was so useful in D/P/Plat. But I'm fairly certain it's been dropped in HG/SS.
Totally worth it though. They really utilized the touch screen, and I love it.
Every single legendary Pokemon is available within Platinum, Heart Gold, and Soul Silver. Some may require an in-game event to be triggered, or download an event via mystery gift. I'll outline these below (note when I say Movie Event, I'm also referring to subsequent events that were held in the US, Australia, and Europe as well as the actual movie event in Japan):
Golem Trio: In Platinum triggered by the Movie/TRU event Regigias.
Darkrai: Movie event, key item was distributed. also had an event in the second Ranger game.
Shaymin: Same as above except no Ranger game event.
Arceus: Movie event.
Jirachi: Recent event distributed.
Celebi: Will likely be the upcoming movie event.
Phione: Breed Manaphy or Phione with Ditto.
Manaphy: Movie event, any Ranger game.
Deoxys: Movie event, also will be able to be transferred in Ranger 3.
Rayquaza: Have both HG/SS Kyogre and HG/SS Groudon to capture him in Johto.
Mew: From Ranch and periodic events.
Everything else is in the 4th gen games.
Everything besides Sinnoh starters are available in HG/SS.
As for non-legendary Pokemon, I have HEARD that between Diamond, Pearl, Platinum, Heart Gold, and Soul Silver, all Pokemon can be captured. Of course, you might not need all of them if you have some of the 3rd gen games to activate Pokemon found via the Dongle method
Also, be cautious about buying used 3rd gen games. there are a lot of bootlegs out there, and online sellers on Ebay/Amazon are not obligated to accept returns or give you a refund. If you do buy online, buy from a store that also has actual retail outlets so you can get there and at least return it for store credit.