Hmm... If I had to make a list...
3. Zelda from Twilight Princess (Probably the "coolest" I guess)
2. Tetra from Wind Waker (not so much when she became Zelda, but it was pretty obvious that she was freaked out and scared when the reveal happened and couldn't keep up the brash persona)
1. Zelda from Spirit Tracks
She comes in at number 1 simply because she goes against the entire "damsel in distress" idea. Sure, other incarnations did it to an extent before her, but she was the complete polar opposite, pretty much.
And while I agree she isn't as deep as, say, Tetra, if they made a sequel to Spirit Tracks (which is entirely possible, really) I could see them going further into her backstory, especially now the limitations of the DS software are out of the way. After all, Tetra
was her grandmother. That relationship in itself would be pretty cool to look into.
EDIT: Oh, and as for Zelda's that don't really "count" since they made minor appearances...
Minish Cap's was kinda cool, but she was only there for the intro and ending. Would have been nice to see more of her, she was more naive and child-like than the other incarnations.
Link To The Past's was... Well, meh. She essentially stayed inside most of the time, understandable considering the entire kingdom was searching for her but it didn't allow for much development.
Same goes for LoZ 1 and 2, but to a much greater extent, naturally.
Oh and Ocarina of Time (which
does count, before someone flips out
) was interesting in that it showed "naive and carefree" young Zelda alongside "serious and rebellious" adult Zelda, and the whole Sheik thing was cool.
And I think that covers all of them...