I've only played LA, Minish Cap, Four Swords, and Phantom Hourglass on handhelds.
So I'd have to say Minish Cap blows all of them out of the water. As much as I've seen Link's Awakening as most people's favorite handheld, I really didn't think it was that good. I also think that Zelda doesn't belong on handhelds. I actually plan on buying and playing the Oracles games and ST, but just for completion value. (I'm in the middle of an official timeline 100% run-through, so ya I plan on getting them.) I just completed MC and it's story and gameplay were just so much fun I found it hard to put down. After that is Phantom Hourglass, then Link's Awakening , then that pitiful mini-game they call Four Swords.