I think one of my favourites is Links awakening, its a great game. Also Wind waker is a fantastic game too. Then again, i've never come across a zelda game i didnt like.
definately the one of the older ones for me, ocarina of time, and master quest of the same game, both incredible! majora's mask was a bit weird, and wind waker, well i completed it sooner than i expected, pretty darn simple lol.
I love ocarina of time becuae its the 1st zelda game i played way back when i was a little kid so its got a place in my heart, ever though i never got passed dodongo's cavern . But twilight princess is the 1st one i finished so i love it, plus midna > navi. But im now playing Oot using VC and its great but not that great by todays standards, but it is like 10 yeras old. So i think twilight princess comes out on top for me.
WIND WAKER omg i fricken love that game! so much fun! Ocarina of time is great too i downloaded it to my wii and play it often. I love how Zelda games are like puzzle games they are never easy