Link's Awakening is my favourite by far. It had a deeply intriguing plot, dealing with much more sophisticated themes that bordered on philosophical grounds. While keeping you intrigued with the fairly serious tone of the plot that concerned existence, it would often counter this by breaking the fourth wall, which made the game seem as if it wasn't taking itself seriously. It managed to have a laid-back and tense atmosphere at the same time, which evened out into some mysterious, magical feel to the game.
It had excellent game play, and offered a good challenge, which is an aspect that I find doesn't crop up enough anymore.