Epona or the Crimson Loftwing. They don't shove obvious observations at you (Fi, Navi), they aren't mean with tacked-on niceness at the end of the game (Midna, Tatl), they aren't a Navi-knock-off (Ciela), they come whenever you call, and you are utterly indestructible on Epona in Oot and MM.
I like Spirit Tracks Zelda too, but you can't use her as a mode of transportation.