Skyward Sword has my new favorite Zelda, by far. My progression of best Zeldas from best to least best goes something like...
Skyward Sword > Spirit Tracks > The Wind Waker > Four Swords.
Skyward Sword has the best character design for her IMO, which might just have to do with the fact that it's more unique and fresh. But she's the cutest Zelda and also the most fully realized character, and both of these traits make her very appealing and very cool as a character. Skyward Sword really backs her up as an awesome character with its great presentation, dialogue and character development, and these are some of the major reasons why she's done so well.
Spirit Tracks' Zelda is great for similar reasons, as is The Wind Waker's. These games all had Zelda as a full character, and one with involvement throughout the game, which I loved. The Zelda in Spirit Tracks is nice because she's hilarious, but also because of how she partners with Link and how they work together. Tetra was just awesome, and her unique personality was a welcome shift and fit well in the game. I also love the character design for both these Zeldas, although it was nearly the same.
Four Swords' Zelda is just on there because I love her character design; none of the other Zeldas stand out to me much except maybe The Minish Cap's Zelda. I would like to see a redheaded Zelda return, like from the first two games. :xd: