I still like the medieval setting, but it can be a bit of a warped medieval setting that has some more modern elements involved. If they do it slowly, I don't mind introducing a bit of technology here and there like steam powered transport. It still has to fit the Zelda world. I see they might make it more Steampunk before they make it modern.
This kind of ties in with another recent thread, but they've been slowly introducing new technology in the games, and sometimes I don't think we've even noticed. I mentioned in the shoutbox the other day about how TP had a bazooka in it, and no one really seemed to remember it. It had cannons as well, and of course, there was the whole spinner / gear system too. That one seemed to get a bit of attention, but the bazooka used by Auru at Hyrule Castle went unnoticed by most. If they do it in a clever enough manner such as this, I think we'll get used to it.
I think they have to draw the line at how advanced they get. I don't want them to grow too far past the medieval setting, or it might lose it's Zelda charm. If they really pushed it into the Industrial Age, I don't know how I'd feel. I suppose it would depend on just how far they push into it.
I REALLY don't know how I'd feel about playing a Zelda where you enter the concrete canyons of Kakariko City riding your E-PoN.A brand motorcycle with your Master Lightsaber in hand...