title: Add labels to Seaborn bivariate KDE plot
body: <p>I like the Seaborn example of <a href="https://seaborn.pydata.org/examples/multiple_joint_kde.html" rel="noreferrer">multiple bivariate KDE plots</a>, but I was hoping to use a standard matplotlib legend instead of the custom labels in that example.</p>
  
  <p>Here's an example where I tried to use a legend:</p>
  
  <pre><code>import seaborn as sns
  import matplotlib.pyplot as plt
  import numpy as np
  
  cmaps = ['Reds', 'Blues', 'Greens', 'Greys']
  
  np.random.seed(0)
  for i, cmap in enumerate(cmaps):
      offset = 3 * i
      x = np.random.normal(offset, size=100)
      y = np.random.normal(offset, size=100)
      label = 'Offset {}'.format(offset)
      sns.kdeplot(x, y, cmap=cmaps[i]+'_d', label=label)
  plt.title('Normal distributions with offsets')
  plt.legend(loc='upper left')
  plt.show()
  </code></pre>
  
  <p><a href="https://i.stack.imgur.com/DJOfG.png" rel="noreferrer"><img src="https://i.stack.imgur.com/DJOfG.png" alt="Plot with no legend"></a></p>
  
  <p>The label parameter to <code>kdeplot()</code> seems to work for univariate KDE plots, but not for bivariate ones. How can I add a legend?</p>