Wow, when i first read the question on this thread, I was thinking totally seriously and then i got to reading all the fun responses. So, I'm going to do the serious, just for fun. ^^
I have learned a lot from the Zelda games, but more specifically, I have learned a lot from all the things associated with Zelda. To be completely honest, there are some things I'm thankful to Zelda for.
In terms of the games themselves, they have taught me some important life skills. Since beginning to play Zelda on a regular basis, I have become a much more effective problem solver. Puzzle games and life challenges have become more easily solved from learning how to think about them, through playing Zelda's puzzles. My favorite example of this is when i figured out one of Zelda's puzzles in my sleep.

I was dreaming about it and figured out how to do it. I leapt up out of bed, went and turned the console on and finished it. This was the ice block puzzle in TP's Hyrule Field for the heart piece. A couple days after that, my friend brought one of those moving block puzzles to school and was playing with it during our lunch break. I reached over and smiled to myself. It was almost identical. True story. This is a fairly useless example, but the first one to come to mind.
Going slightly off this, Zelda has also improved my creative thinking. Example: how can I do this task with the materials I have? Looking at the items screen and trying to decide how to get a deku princess home to her father. Do I need something else? Can't hit that switch on the other side of the grate with just regular bombs. And i missing something? Looking on the roof for the hookshot target that just has to be there somewhere. And of course the ever popular: How in the heck do I get up there!?!? Finding that ity bity platform in the corner.
But it isn't just things in the games that have effected my life, the fact that I play the games/am interested in the games has effected my personal life. First of all, Zelda brought me here, to ZeldaDungeon.net. I have made a lot of friends here, around the world and am very thankful for that. I had never really belonged to a forum community before I came here, and this place has opened up many doors for me. have learned so much about other places and other people from chatting here, as well as meeting some incredible people that I intend to keep as friends. Some have moved me enough for me to want to travel and try to meet them in person. Of course, the thing I'm the most thankful the of this place for, is an opportunity to talk about Zelda and not feel like a total geek. XD People give you weird looks when you are in your third year of university and you want to nerd out about video games. I have found a couple in the world around me who share this with me, but here on the forums, I feel like I'm one in a crowd of many who enjoy what we do.
The one thing I am most thankful for is one particular association that resulted out of a common love of the Zelda series. Rishian and i began talking and became friends over the conversation of Zelda, and for that I will ever be thankful. On this note, it also got em into gaming in general, something I have really grown to love and enjoy.
Zelda has also inspired me to write fiction, which is something that I never would have tried, unless I found something else that inspired me in such a way.
Zelda has taught me to go for it, live for your dreams, and never give up
