A list of my favorite characters in the series, in no particular order.
Ghost (LA) - My favorite character from Link's Awakening. He has no connection at all to the main plot, and I'm pretty sure he's only in the game to put space between Angler's Tunnel and Catfish's Maw. That doesn't make him a bad character, though. He's a simple spirit who wants to be put to rest. When I played LA, I actually felt a bit sad when I left him at his grave. You're given sufficient time with him that gives your separation from him a sense of humble poignancy. For being a cartoonish ghost, he really does evoke my emotions.
Marin (LA) - Marin is one of the more fleshed-out characters in Zelda, and I think her relationship with Link is one of the best in the series. It's playful, but also very meaningful. My favorite part of LA is when Marin is talking to Link on the beach about how she wonders what exists beyond the island, how she wants to fly away from the island and discover new lands, and how part of the reason she adores Link is because she thinks he's a sign that a world does exist away from Koholint. Her dialogue is very important to the mystery of Koholint Island, but most importantly, she's a really likeable character.
Skull Kid (MM) - A character that feels misunderstood, disliked, and yet in the end, finds out that the people around him really do care about him deeply. This... gives me hope.
Skull Keeta (MM) - "And convey my words to my men, who, even in death, remain loyal to me. Tell them the war has ended..."
The commander of the Ikana Army, and probably the most matured character in the series. He's on the complete opposite end of the spectrum from... Tingle. After suffering a shameful loss in war, he declares that the war shall no longer be fought. He doesn't seek revenge, but only peace. I think this corresponds very well to the comparison of Termina to the Five Stages of Grief, where Ikana represents acceptance.
Lenzo (WW) - I just think it's really funny that he was in a relationship with Link's grandma, lol.
Prince Ralis (TP) - In my opinion, Twilight Princess has some of the most developed and realistic characters in the series, and Prince Ralis is one of those characters. He's one of the few characters in the series to be stricken with real depression and self despair. After losing his mother, and having to face the responsibility of ruling the Zoras, he hides with the thought that he isn't fit to rule them, and that he isn't the perfect son his mother wanted. However, he later decides that Link is a paragon of what his mother wanted, and he gives him the Coral Earring to help him in his quest. He's definitely one of the most realistic and human-like characters in the series.
Impa (SS) - My absolute favorite reincarnation of Impa. She's so... sharp, and bitter, and she gives no ****s about Link's feelings. At the end of the Earth Temple, when Link is just about to reunite with Zelda, she stops him and tells him that he was late, and that he isn't worthy of being called a hero, or being with Zelda. Like, goddamn, that's harsh. After that occurrence, you see Link seething with anger, and I was seething with him. No character in Zelda has ever made me feel more insulted. Like, wow. This one cutscene alone is the main reason I like her so much. She's also really awesome when she's fighting Ghirahim at the Gate of Time.