Tough question. My all time favourite is probably Twilight Princess (Wind Waker and Ocarina of Time push it close, though). Ocarina was my first, (only four when I first played it) then Majora's Mask (although I didn't get into it first time around because it was so, so different to OOT), then Wind Waker and then Twilight Princess. So I'd played three and completed two before playing TP.
Well the first one I played was OOT and that remained my favourite even after playing TP for the first time which I considered just as good. I needed several playthroughs to make my decision that I liked it just that little bit more.
Up until then I think I had played OOT, MM, WW and FSA (bleugh). So 4 games before I found my new favourite and it has remained my favourite since then. Now it's been 12 looooooooong years without them being able to make anything even close to the masterpiece that was TP.