As the cover pokemon of both Pokemon Black 2 and Pokemon White 2, Kyurem is an obvious target for capture. It's the only ice- and dragon-type pokemon in existence, and its legendary status make it a fantastic sweeper for any non-competitive team. It also shows up fairly often in the story... though you're left annoyed by the fact that you can't catch the stupid thing.
Unfortunately, you can't get Kyurem on your first traipse through the game. You'll encounter it several times, and even have to beat it in its fused form, but you can't catch it. Your only battle will be blocked by Ghetsis' technology. Go through the main game, beat up Team Plasma, take out the Elite Four and the champion, and then reload your game to begin the post-game content.
Once that's done, go back to the Giant Chasm. You'll find the area clear of giant airships. Proceed north through the chasm (which is MUCH easier in this game than it was in Pokemon Black and White) until you find the cave where you fought Kyurem and Ghetsis the first time. Go inside and head to the back. You'll find Kyurem waiting for you in its original form, and you can catch it as you would any other legendary.
