I think the biggest gap, and probably the one that more so needs to be filled, is the gap between the original Four Swords series (the first two; not including Adventures) and Skyward Sword.
All three of these games kind of bother me in the sense that they seem alien to the rest of the series and quite frankly it would be best if they were all grouped together. However they can't be grouped together because Ganon appears in Four Swords Adventures (as a reincarnation of sorts). This would make no sense as FSA took place before OoT and this is where Ganondorf is first canonically introduced. So I have no real qualms it's just that it bothers me that they are separated by a huge time frame while being so similar in mythology, story, charterers etc.
Anyway back on point, the first two games of this, well mini-series, seem kind of foreign to the typical Zelda game. It's like it's own self contained lore and characters with a back story that seems oddly familiar yet totally different at the same time. You have this thing known simply as the Light Force, which seems to be the main relic (Triforce maybe?) and an ancient sword sent down from the heavens named the Piccori Blade (looks strikingly similar to the Master Sword and this could be a reference to Skyloft). So here you have two prime examples of what I'm talking about, two vital relics that seem very familiar but are actually quite different. Now this wouldn't be problem if they were mentioned somewhere else but it's just so happens that this game is smack bang in the middle of Skyward Sword and Ocarina of Time.
In the two games mentioned above, they connect in the sense that SS is somehwat of a distant prequel, plus the fact that it references the game multiple times. It shows the birth of the Master Sword, the collection of the Triforce which lead perfectly into eh events of OoT if you include the Era of Chaos. It's not a direct connection as we can say that probably thousands of years passed between the two games, but that's not the point, they still link to one another. The problem is that SS really doesn't preceed TMC In any way and it--like I said a lot earlier--alientianes it from the rest of the series. We really need a game between SS and TMC to explain some of the inconsistencies during what are essentially the early stages and birth of Hyrule as we know it.