I'm probably going to get loads of flamers saying "Ocarina of time ftw. Windwaker!!!11111. Twilight princess, the graphics!!" but I say Majoras Mask.
Yes, it didn't have as many dungeons as the other games did however, it had Deku, Goron, Zora and not to mention Fierce Deity Link.
I thought that was really made the game unique as well as the epic story.
Sure, the others were good, but my favourite goes to Majoras. My second favourite.... probable OOT. I prefer the oldies. XD
Plus in Majoras Mask, the fairy had a attitude. And, if I remember correctly, didn't go "Listen! Hey! Listen!" for once.
Also, I loved the Kafei subplot. It was fun, intresting and just one of my favourite subplots of all time.
It wasn't like the other Zelda game subplots which were useless.
I thought Twilight Princess was not as good as the others (sorry to the fans:()
It borrowed music from loads of the other games, I think Kakariko was in a completely different place in comparison to Ocarina.
Also, I found it slightly boring to play (for the Wii, anyway. :()
Edit: I completely forgot about A Link to the past! That could possibly be my second favourite. Its definitely up there. :D