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. He presents himself as a member of the Sheikah race, having spent the last seven years during Link's absence spying on Ganondorf and aiding all resistance against him, including freeing Ruto when she was frozen in the Ice Cavern. When he approaches Link upon waking, Sheik confirms that Link is indeed the Hero of Time and informs him that he must awaken the Five Sages in order to defeat Ganondorf. He points Link towards the first Temple in Kokiri Forest, also telling him he must first retrieve an item in Kakariko Village.
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. He appears in the Sacred Forest Meadow to teach the Minuet of Forest, at the Temple of Time afterwards to teach the Prelude of Light and allows Link access to the Pedestal of Time. She later appears at the Death Mountain Crater to teach the Bolero of Fire, by Kakariko's well to teach the Nocturne of Shadow, and in front of the Spirit Temple to teach the Requiem of Spirit. It is notable that at Kakariko's well, before teaching Link the warp song, Sheik had been attempting to prevent Bongo Bongo's spirit from escaping the well. However, Bongo Bongo proved to be too strong for both Sheik and Link, taking them by surprise and fleeing to the Shadow Temple. Before teaching the song, Sheik asked Link to go assist Impa, who had journeyed to the Temple to reseal Bongo Bongo.
After awakening all five Sages, Link returns to the Temple of Time to find Sheik waiting for him there. Sheik then reveals he is 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, she is quickly found and captured by Ganondorf's magic. Her Sheik disguise is not used again in the game.
Sheik designed herself exactly like a member of the Sheikah tribe, with a blue jumpsuit and boots. She hid her face quite well, with a turban and the Sheikah symbol on her chest.
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.