In my opinion, Midna is the best sidekick out of the entire Zelda series, although only just. Even though I have openly complained many times on this forum about how bad Navi is because she won't shut up, to be honest, that was because everyone else was doing it and I was mixing in with the crowd. Once you get past the points in the game where she forces you to stop what you were doing and listen to her, she becomes a good helper throughout the rest of the game. So it was close between Navi and Midna.
While I was thinking about my answer, I thought about how annoying it was that Navi forces you to listen to her at certain points in the game with unhelpful infomation, such as how to open a door. Seriously, if you can't open a door, get the hell out off of Ocarina of Time because you are clearly never going to beat it. But then I began thinking about Midna does exactly the same thing (most helpers probably do), with some infomation that was just as useless.
Navi is a good helper in the aspect that if you got really stuck with beating a certain enemy or boss, or just generally didn't know where to go, you were able to ask for her assistance when you wanted it, or in the case of being lost, when she offered it. Midna went one step further though, although she didn't really offer any help (that I can remember anyway) on how to beat different enemies or bosses, she was always there to talk to if you didn't know what to do next, more so than Navi was. She wins in this department though because she enables you to travel anywhere in the game you want as you unlock the portals, which is really helpful in completing the game 100%.
The major factor in what puts Midna ahead of Navi for me though, is that Navi doesn't have a storyline behind her character, which just doesn't make her that interesting. The only thing we know about her before she goes to aid Link in his quest is that she was sent by the Great Deku Tree. I also found it rather annoying that when she left Link, there was no dialogue, and that she just left.
Whereas in Twilight Princess, the entire game revolves around Midna and her background. This adds a great deal of character to her, and more understanding for why she behaves like she does, and what she is. An aspect of the game which I think is a good thing. Finally, when Midna leaves, she actually speaks to Link, and gave us a better ending to the relationship between herself and Link, unlike Navi.
As you can already see, I conclude that Midna is the best sidekick to appear so far in the Legend of Zelda series, but I'm not sure how good Skyward Sword's sidekick is going to be, she might be even better than Midna...
And also the Sacred Duet at the end is really......calming i guess. Sometimes I just fight Malladus to hear that song, especially when the Sages or whatever start coming in!
(), but he almost never Navi's and even when he does he is actually useful: sure, there's the unskippable Wind Waker tutorial (which is actually rather quick for learning how to use such an important and kinda complex item), but he gives good hints when necessary (yay!) and he also only requires you to talk to him once or twice that doesn't involve story. 
