Heatran is in the back room of Stark Mountain.
Regigigas = you need to have Regirock, Regice and Registeel in your party then make your way through the Temple in Snowpoint City. You'll run into it eventually.
Cresselia = go to the house that has the boy who is sick in it in Canalave City. Afterwards talk to the Sailor and he'll take you to Full Moon Island. Talk to Cresselia and it'll fly away. It's now roaming around Sinnoh like Mesprit is so finding it is basically up to pure luck.
Articuno/Zapdos/Moltres = talk to Oak in Eterna City, he'll activate this event. All 3 will be roaming around Sinnoh like Mesprit and Cresselia both are.
Regirock/Regice/Registeel = These 3 are only available if you have the movie or Toys R Us Regigigas. The special cave for Regirock is on Route 228. It'll be near where a Nevermeltice is/was.
The Regice cave is within Mt. Coronet, it's right by the exit to Route 216.
The Registeel cave is within Iron Island, it's right by the exit. It's where a Metal Coat can be found as well.
Darkrai/Shaymin/Arceus = These are only available the legit way through special Nintendo giveaways called Nintendo events. So far only Darkrai and Shaymin have been given away but their non-Japanese events have passed so the only other way to get them (Darkrai, Shaymin and Arceus) would be through a cheating device such as an Action Replay.
After beating the distortion world quest, talk to Professor Rowan. Then, go to each of the lakes (Verity, Acuity, and Valor). Uxie and Azelf will be at lakes Acuity and Valor. You'll need to catch them in the caves in the center of the lakes. When you go to the cave in lake Verity you will see Mesprit, but she will run from you. You will have to track her down. She will still be in your pokedex though.