If you select a letter in the cell used for the legend and format it with
Symbol, the legend does not change because formatting does not get carried
over. Nor can you format a single character in the legend.
BUT is you go to the cell that is used for the legend and use Insert|Symbol
to get Greek letters then the legend reflects the change. I'm using XL2003;
I know that XL2002 has Insert | Symbol but with older versions you may need
to use the Character Map (Start|Programs|Accessories|System Tools or use
Insert | Symbol in Word and Copy&Paste.
best wishes