Ocarina of Time
Sheik is a mysterious character who first appears before Link when he wakes from his seven-year slumber in the Temple of Time. They presents themselves as a member of the Sheikah race, having spent the last seven years during Link's absence spying on Ganondorf and aiding the resistance against him, including freeing Ruto when she was frozen in Zora's Domain. When they approach Link upon waking, Sheik confirms that Link is indeed the Hero of Time and informs him that he must awaken the five remaining Sages in order to defeat Ganondorf. They point Link towards the Forest Temple in a deep forest, also telling him he must first retrieve an item in Kakariko Village. They also block access to the Pedestal of Time until the Forest Medallion is obtained.
From that point on, Sheik often appears right before Link enters a Temple in order to teach him the warp songs associated with each Temple. They appear in the Sacred Forest Meadow to teach the Minuet of Forest then, after Saria is awoken, at the Temple of Time to teach the Prelude of Light and finally allow Link access to the Pedestal of Time. They later show up at the Death Mountain Crater to teach the Bolero of Fire; then in the Ice Cavern after Link has defeated the White Wolfos guarding the Iron Boots to teach the Serenade of Water, sending him to the Water Temple. Once Ruto is awoken as a Sage there, she asks Link to thank Sheik for saving her, and Sheik proceeds to appear just as Link exits the Temple to acknowledge the thanks and congratulate him, before slipping away again.
When next they appear, it is in a Kakariko Village aflame, attempting to prevent Bongo Bongo's spirit from escaping the Well. Both Sheik and Link are tossed around and easily defeated by the monster, who flees to the Shadow Temple. When Link comes around, Sheik is already awake, and begs him to go to the Shadow Temple and save Impa, who has gone to attempt to reseal it. They then teach Link the Nocturne of Shadow to get there, admitting that they're no match for the beast, before vanishing in the flash of a Deku Nut.
Once Impa has been saved and awoken as a Sage, Sheik teaches Link one more song, the Requiem of Spirit, at the Desert Colossus; telling him to use it to visit the Spirit Temple as a child before entering as an adult.
After awakening all five Sages, Link returns to the Temple of Time to find Sheik waiting for him there. Sheik then reveals they are actually Princess Zelda. She had disguised herself as a male Sheikah to avoid detection by Ganondorf's forces. She presents the Light Arrows to Link, the only weapon that can defeat Ganondorf, but having shed her disguise, is quickly found and captured by Ganondorf's magic. Her Sheik disguise is not used again in the game.
As Sheik, Zelda wore a costume styled after a member of the Sheikah tribe, with a blue jumpsuit and boots. Whether she merely wore a costume or transformed into a Sheikah is ambiguous, but her eyes change from red to blue when she uses the Triforce of Wisdom to reveal herself as Zelda; and Ruto believes "Sheik" to be male when asking Link to thank them for her.
Sheik appears in a few other non-Zelda games. One of them is Super Smash Bros. Melee for the Nintendo GameCube. In this game, the player can play as Zelda and change into Sheik. The player can play as either Zelda or Sheik in one game, or continuously switch back and forth if the player so desires. Sheik also appears in Super Smash Bros. Brawl, similar to the way she appears in Melee. The combination with Zelda is the same, but the artwork is that of Twilight Princess style. Sheik also appears in Super Smash Bros. 4, where she is her own separate character for the first time. Sheik also appears in Hyrule Warriors as a playable character.