Hmm, it depends really, Link wins. REASON Link would win if Zelda does not attack him with any magic, he has his shield, he can shoot arrows and use his magic to attack her if she tries to run. Zelda wins. REASON, Link does not attack her because she's a girl, she changes into shiek, she has the Triforce of Wisdom so she can avoid his next move and if he does not use any magic on Zelda.
The match goes to Link, because he isn't a horrible character, but Zelda is
In Brawl:
The match goes to Zelda, because all she has to do is get Link off the stage, hit him once while recovering, and Link can't make it back.
In the Zelda universe:
I'd have to say it's about even. Supposedly, Zelda is amazing with magic, yet we've only seen her use it a couple of times. Yet, Link is bursting from the seems with courage and never backs down. He also has an arsenal of amazing weapons and such.