Lol. Yeah basically there are a handful of Links that are confirmed to be the same between two games, but all the rest are different or are at least not confirmed to be the same. Ocarina of Time and Majora's Mask share the same Link (after he returned to his own time he went to Termina), and The Wind Waker and Phantom Hourglass share the same one as well. Some people also think the original Legend of Zelda and Zelda 2 have the same one too... or I think it was actually almost definite that it was intended to be that way. Similar story with the Links in A Link to the Past and Link's Awakening. xP
And yeah, I know what you mean about that. It sucks.