Just like Lucifer (the angel gone bad), are there any demons who turned good?
You asked for "demon[s] gone good", so I'll pass over the many stories where the Devil never was as bad as he's cracked up to be, such as Keith Laumer's "The Devil You Don't" and Steven Brust's To Reign in Hell. Here are some stories about evil demons gone good:
"The Devil Was Sick" by Bruce Elliott, published in The Magazine of Fantasy and Science Fiction, April 1951, available at the Internet Archive. In the far future, a student summons a demon as his thesis project, then takes it to the Sane Asylum where it's cured by advanced technology:
The doctor picked up an instrument. A pulsing light came from its S-shaped lens. The doctor bathed the thing in its light. He said, "This will only take a moment. That is, if it's going to work. If not, there are many other things to do."
Suddenly his voice failed him. Acleptos backed away from the table until the wall stopped him. Ttom gasped. Only the robots were unimpressed.
For the thing was changing. Wherever the lambent light touched it, the scales fell away.
The doctor whispered to the robots, "Release your hold!"
As they did so the creature arose in glory. A golden light played around its soft sweet face. It stepped to the window and the smile that played around its lips was like a valedictory. It poised on the windowsill for a moment before it spread its huge white wings.
It said, "Pax vobiscum." The wings swirled and it was gone, wrapped in serenity.
That is why Acleptos changed the words of the motto in front of the Sane Asylum. They now read: A devil is just a sick angel.
"And what does this devilishness amount to? I think we shall find it is a protest, arising out of a sense of rejection which may very well date to the actual moment of your becoming a devil. Even human birth is a traumatic experience. How much worse must it be, to be born a poor, rejected devil!"
The wretched fiend shifted his shoulders, pulled at his dewlaps, and showed other signs of distress. Thereupon the analyst drove home the attack, referring to fits of depression, vague fears, a sense of guilt, an inferiority complex, spells of insomnia, a compulsion to eat and drink too much, and psychosomatic aches and pains. In the end the poor devil positively begged to be analyzed; all he asked was that he might be given extra sessions so that the cure could be accomplished more quickly.
"Rachaela" by Poul Anderson, first published in Fantasy Fiction, June 1953, available at the Internet Archive. The title character is a female demon who falls in love with the man whose soul she was supposed to buy:
He read the panic crawling behind her eyes. His voice harshened. "Why are you afraid? What did they do to you there?"
"I'm a demon." Her teeth rattled together, and she crept into his arms and hid her face against his breast. "We're a p-privileged class, yes, b-b-but we're with the damned too, and the punishments for failure—" She sucked her breath in, fighting for control.
"You're not going to fail, Rachaela." He strained her to him. "Give me that contract."
"But Will—Will—you'll be among the damned then, you'll be in Hell forever and forever, worlds will crumble and the sun fall to ash before they've well begun with you, and it will last for all eternity—
She shook her head, slowly, and freed herself. For a moment she stood with her head bowed, the long shining hair sweeping down past her face, and he saw that she was crying.
"I can't do it," she gasped.
The Day After Judgment by James Blish. This is the sequel to Blish's Black Easter; the two have been published together as The Devil's Day. The ending may be somewhat obscure and ambiguous (as I dimly recall from reading it decades ago), but "God Is Dead", the devils are running the show, Satan is now ruling in God's place, and seems to have reformed. Here is the Wikipedia page, and here is a review I found on the internet by Paul Shackley.
Not exactly a demon "who turned good", but a demon who was never evil to begin with: Azazel, introduced in Isaac Asimov's short story "The Two-Centimeter Demon", is a tiny demon who is not only not evil, but also seems puzzled by humans thinking demons want their souls (his human friend George once asked him if he wanted his soul, to which Azazel replied "what is a soul?" and an endless discussion ensued).
It is implied that most of what humans think about the evilness of Hell is a misconception. However, Azazel does seem able to grant wishes (with hilarious results) and perform powerful magic, even though he appears to be an extremely low-ranking demon.
A caveat is that in the stories, it's never made clear whether: a- Azazel actually exists, or was merely made-up by his human friend George (who is an unreliable narrator), b- Azazel exists but is actually an extraterrestrial, and his "powers" are merely "sufficiently advanced technology", or c- he is an actual demon.
The video game Disgaea: Hour of Darkness (the first game of the fanchise) comes to mind.
It is about angels stereotyped as good and demons stereotyped as evil, but both sides have examples who play against type. Some knowingly, some without realizing it. The question "can demons love?" is a central theme of the story.
The main character is a demon who wants to be evil, but "fails" and develops more and more positive character traits over the course of the story. He also comes to realization that his father, who he respected for his evilness, wasn't such a bad guy after all.
The conclusion of the story is that neither demons nor angels are inherently bad or good.
You asked for legends, so I'm assuming you'll take Norse mythology as well. Loki never really turned good (he did directly participate in bringing about Ragnarok, after all), but he did once save a farmer's son from a giant: http://loki-in-myth.tumblr.com/post/29564934332/lokis-protection-of-the-farmers-son.
A giant is coming to take a farmer's son away, so the farmer appeals to Odin, Hoenir, and Loki for assistance. They each take turns hiding the boy in different ways, but the giant always finds the boy. Loki kills the giant, saving the boy, and the family holds Loki up above all the other gods afterwards.