I remember watching a video by Angry Video Game Nerd about the timeline, which made it out to be quite confusing. But yeah, Majora's Mask seemed pretty deep from the Get-go, and the environment of it all is just so, eerie, yet comforting. I hate the fact that you're constantly being timed, but it's really fun. Ocarina of TIme is great too, mainly because it's pretty much the least confusing Zelda game and I'd probably reccomend playing it first, since it introduces most of the characters so well.