Link's Awakening for me. The existential plot was surprisingly engaging, and the secret ending still remains one of the most poignant video game moments ever for me. Many gameplay elements introduced in LA would also become part of the Zelda formula in the future, namely the trading sequence and actually being able to press a button to defend.
LttP comes in a close second for reasons already explained by others. After that, I'd say Ocarina of Time for somehow being able to capture the magic of Zelda in 3D (though I could have done without that dreaded horse archery).
I still marvel at how good the Oracle games turned out. I must've played through every possible combination of those games many times over.
I enjoyed Minish Cap quite a bit but it was simply too short. I had it finished in two days.
Minish Cap was shaping up to be one of my favorites, but it felt woefully incomplete. I remember beating the Light World in LttP and being amazed that there was another world to explore after that. I expected the same feeling in Minish Cap, but was absolutely dismayed to find out that was all there was.
Still haven't played Majora's Mask or Wind Waker, so can't really comment on those.
So, I take it I'm the only one here who's had the pleasure of playing and beating all 3 CD-i games? Spoiler: they're bad. Well, I don't think they're nearly as bad as some say, though they're nowhere close to being good. Zelda's Adventure was the best of the bunch, and I do wish Nintendo would finally give Zelda her own game. The whole series is named after her, for goodness sake!