If it was a matter of favorite instruments, I'd have to go with MM. It was awesome to be able to play the ocarina AND the guitar, AND the drums, AND well, deku horns! (I think thats what they called it). As for favorite songs to play, I'd have to go with Oot. Seriously, those were some of the best Zelda songs ever!
I know a place you can get a great ocarina!
STL Ocarina they have an awesome 12-hole hole ocarina and a double ocarina! if you don't know what that means, just check there Zelda section. its pure awesomeness.
Oh yeah! If you don't have the cash for the 12-hole ocarina, you could always use the 6-hole sweet potato Ocarina of time replica. Here's the Link (doesn't that always remind you of a certain someone when people say that?):
Songbird Ocarinas. Just scroll down a little until you see the different sections, than click on 6-hole ocarinas.