Well, it depend's. In Ocarina of Time I prefered walking and warping it was so much easier with the warping than using a horse to get to a simple place.
Majora's Mask, Epona is pretty helpful.But once I got the Bunny Hood, ****, I didn't care much for Epona. Same with the warping as well.
Twilight Princess, very useful. I loved Epona in Twilight Princess, you could use your sword and more sub-weapon's while running on her. But, when you could turn into Wolf Link whenever you can please, Epona was kind of "Eh, Whatever" phase.
Foot walking is fun, Epona makes you go faster, but other than that, not much of a useful character. :<