Thats a pretty tough question, alot of the games are pretty close to the heart. Links Awakening was the first zelda game i owned (got it with my brand new purple gameboy color!), went on too play link to the past on my super nintendo.... played it WAY too much along with mario rpg. One day in Target i started too play there copy of ocarina of time... hit me like a ton of bricks that this game was friggin amazing and went too the used gamestore and bought a n64 and OOT, still have the first save game on the top slot as well =P. I got Majoras mask for my birthday from a friend, only to realize i needed that darn expansion -.- went to the store and had to pay like $50 for the darn thing! was worth it though cuz that game was like a gift from heaven. When wind waker came out i was a bit skeptical about the cell shading... but it was zelda nonetheless so i worked around the house to get the money needed for a gamecube and WW, i remember being outside in the winter having to pick up frozen dog poo.....a lot of frozen dog poo. Turned out the cell shading in WW was frigin epic IMO. Followed info on Tp for along time, raged when they pushed it back another year but was a bit happy as-well. Me and my friend went to walmart and waited in line for the release of the wii, sat out there in November i think it was....it was COLD. After the long wait i got my number 11 ticket and grabbed my brand new wii with TP and redsteel ( redsteel..... terrible game) headed over too hooters for some wings and...company. And of course SS, got my gold wiimote.... coolest thing ever, wish i had a golden nun-chuck though.
Ah but i digress, of all the games i would have too say Majoras mask is my favorite. You realy connect with just about all the characters, has the awesome 3 day system which i LOVED, collecting all the masks was soo much fun, had the skutula houses and a great intent travel system, even though there were very few dungeons it really brought everything together for a perfect game.