All of the games that I've played are great and I enjoy them immensely. However, I do prefer the more cinematic qualities of the 3D Zeldas and of those, Ocarina of Time and Twilight Princess really stand out to me. When you combine the various dungeons, the huge world, and the various cutscenes, both games feel like an epic tale. Wind Waker was great, but there were some things that took away from that feeling, such as the sailing; it felt a bit limiting and restricted the exploration of the world.
Ocarina of Time had a very simplistic story, but it can be very engaging. The music is great and the world is diverse. It can be a bit clunky (after all, it was the first 3D Zelda), but the title is very nostalgic for me. My best memories are of watching my brothers play the game and I always felt like I was watching a movie. OoT will probably always my number one Zelda game due to my nostalgia, but even without that, it's still a fun game. Although, if it weren't for the nostalgia factor, TP would probably be my favorite.
I found TP's story to be the most interesting and engaging Zelda story. How the game is set up provides for many cinematic moments, and that is what really sucks me into the game. Many of the cutscenes played like a film. The character designs were interesting and the world felt immense and lived-in. Then there's the fact that the controls were very smooth, making the gameplay very easy to learn. Actually, I feel like TP perfected the standard Zelda formula and it was never supposed to really bring anything new to the table. Well, that's my own view on it. I'm sure many people would disagree.
