This is a hard question....the first Zelda game I ever played was Link's Awakening, and I've never had a gaming experience like it. I was young at the time, and I often had to put the game down for days or even weeks and come back with fresh eyes and thoughts to keep progressing (no internet walk-through, no strategy guide). I'd say it took we well over a year to complete that game, possibly two. There were times I thought I never would, but when I finally climbed up to release the Wind Fish from his egg....nothing will ever top that for me.
What almost did was A Link to the Past. Once again I insisted on doing the whole thing without any outside knowledge, but since I was a couple years older and had one Zelda game under my belt it wasn't quite as challenging. But the memories are the same, and I believe if I went back and played it now I'd be even more impressed.
All that being said, it is also very hard to argue with the sheer perfection of the N64 titles, from the fact that they are truly a companion piece (something which no other two Zelda titles are....well the Oracles, which are also a wonderful progression of the Link's Awakening engine, all three are such charming games) to their sheer design mastery. Ocarina of Time is the quintessential epic quest, and Majora's Mask is the dark sequel, it's Empire Strikes Back or Temple of Doom. No one should play one and not the other.
So yeah, in order, all of them separated by razor-thin margins:
1.) Link's Awakening
2.) A Link to the Past
3.) Majora's Mask
4.) Ocarina of Time
Honorable mentions to the Oracle games and Minish Cap for allowing us relive Link's Awakening and A Link to the Past in new scenarios. Would LOVE to try Wind Waker someday, as I have a feeling it would have a chance of being one of my favorites.