They all have a nice touch to them, but they are all heater/kite shields (which are visually the most appealing in my opinion). I would have liked to see Link try his luck with a tower shield or more realistically as a swordsman, a buckler (Link needs to do some swashbuckl'n).
The Goddess shield from SS was lovely, but it broke instantly on me at full upgraded power at the end of the game when I finally went to use it, so that kind of makes it loose ratings with me. The Hylian Shield is the classic; there is a reason in every game it is in you usually upgrade to it, after all. I am always satisfied and I feel my arsenal is complete when i finally have it. I love seeing the new shield designs in the beginning (such as oridon, Deku, skyloft, etc - the town you start off from), but you know you've "finally made it" when you've got that Hylian Shield on your back.
But which one of those was my favorite? I would say Twilight princess, while Majora's Mask's version would be m least fav. Hylian Sheild.