Link to the Past is my favourite but Ocarnia clearly is the best. I recommend the Minish Cap, defitnely pick that up for the GBA or DS, its got the Pegasus boots c'mon. Only thing I found annoying was going around Hyrule fusing Kinstones with people.
Wind Waker was beautiful and the usual Zelda goodness but its still good to see Link back in his familiar appearance.
Majora's Mask, lots of fun being a Goron and time traveling but missed an element. It was darker which was good but not enough temples.
Ocarnia of Time, well worth the wait. Also enjoyed the videos that chronicled the franchise from its 8-bit origins.
And lost in all this Twilight Princess hype is the other Zelda game coming out for the DS.