Favorites:
Wind Waker- The most personality of any version of Link, Tetra is one of my favorite characters in the series, it has a great visual style, sailing gave a wonderful sense of exploration, and Ganondorf was vastly more interesting and sympathetic. My only real complaint is the cut dungeons and I believe missable figures, but I never really pursued those so I'm not sure if there's a workaround.
Majora's Mask- It had the most indepth townspeople in the franchise, and the bomber's notebook and clock made the world feel huge and alive. Likewise the fact that the notebook lists all of the times that rewards are available let's you focus on target points, giving a great sort of open ended structure, making your own quests. It's funny as I hate time limits with a passion, but MM's clock never really felt like one to me, it was more about learning the world. I also consider it, along with FF7, one of the great blends of silly and serious. People always focus on the darker aspects, without commenting on how silly and hilarious it is as well. I think that's part of why the Compilation of FF7 isn't as popular; they carried over the more series and dark aspects, but neglected just how silly FF7 could be, and so only got half of it's essence.
Hyrule Warriors- Warriors is high on my list of favorite series, higher then Zelda infact, so needless to say I was thrilled. Add in playable Midna and Agitha, my two favorite Zelda characters, and needless to say I was happy. The game has a nice blend of old and new as well. It felt a bit like a throwback to the DW4 Empires era or so, simple base capturing without a lot of the more complex systems of later games. I later played Pirate Warriors 2, which feels very similar, but didn't make that connection when I originally played it. Adventure Mode is probably my favorite thing in the series, taking my love for the Abyss tower in SW1 and blowing it out of the water.
Skyward Sword- The strongest storyline in the series, an amazing main theme, customizable equipment, and an interesting setup. Plus it introduced Timeshift stones, which I've already gushed about. An actual overworld would be nice, but it's not a huge deal. My only major complaint is that Fi always tells you about hearts when you talk to her with critical health. I like chatting with her a lot, so it got a bit frustrating, at least they could just have it be once per play session or something.
Link's Awakening- It was hard to pick between it and the Oracle games, but Awakening wins out for the more creative world design. The Roc's Feather is my favorite item in the series, being able to equip two items at once was incredible at the time, and the trading sequence remains my favorite as well. I have few real complaints, though I will say that if any Zelda should have multiple endings, it'd be this one. How I wanted to just beat the final boss and then say "Seeya" and walk out.
The Adventure of Link- It's not nearly as high up as the others, I just wanted to give it an honorable mention. I like that it mixed things up style-wise, added a bigger world with actual towns, and had a playable fairy form, which is always nice. I'm a pretty big fan of the Monster World series and Super Adventure Island 2, so the style definitely appealed to me, I'd like to see them give it another shot one day.
Least Favorites:
Twilight Princess- This is a bit weird considering that both of my favorite characters in the series are from this game, it introduced the floating city which I found fascinating, the old west style Kakariko was cool, and the gorons had this kind of bodybuilder yakuza feel going on that was pretty cool. Plus Wolf Link' more four legged heroes are always a good thing. And yet for some reason the game just never clicked with me. Don't get me wrong, I liked it and plan to replay it at some point, but it just never hooked me the way that others did. I don't dislike it in the slightest, like I said all of it's parts are great, the sum just didn't quite match the rest of the series.
CD-I Games: I didn't plan to talk about them, but after saying so much about Adventure of Link, I thought I should. I haven't played them yet, so I can't say personal feelings, but just from what I've seen of them, the annoying item usage and button issues hold it back. It's really a shame as like I said I'd love to see another side scrolling Zelda attempt, and I do like how creative and bizarre they got with the animation and villains. I always liked the feel of the NES era Captain N cartoon style Zelda series, and this is like that gone insane. It was before the series was really finalized, which I just find interesting. Actually, I guess A Link To The Past did come out before it, which is what I consider the first "Modern" Zelda, so I guess it did go against that some. Still an interesting throwback, I want to like them, I just fear the control issues and inventory management.