My least favorite game would be Phantom Hourglass, but despite it being the least on my list, I still enjoyed it, as it was a Zelda game.
So, I'm just going to say one thing that I think the Zelda games need, specifically the modern ones.
Make them more difficult.
Yeah, they seem to be getting easier and easier. ALttP was challenging enough for me, but OoT was not. Sure it had its difficult places here and there, especially puzzle-wise, but the bosses were just too simple. Queen Gohma was alright, being the first boss, but they really didn't get increasingly harder. King Dodongo wasn't much harder. Phantom Ganon was simple once you understood his tactic- which didn't take long. The Water Temple's boss was easy (looking at how hard the entire temple was). Bongo Bongo wasn't very hard, but was freaking awesome, so I don't mind that too much. Ganon was even quite simple, considering that knocking away my Master Sword did absolutely nothing (had the Biggoron Sword).
Majora's Mask was okay, to an extent, so I won't really focus on MM. My biggest problem was that Wizrobe showed up like 4 times!
So, when I mean more difficult, I mostly mean the bosses. Look at TP- it's bosses were way too easy. Some say Blizzetta was difficult, but she really gave me little challenge at all (just me). And the Dragon, anyone? I can't remember his name, but he provided no challenge and was incredibly easy to figure out. The only difficult one was Stallord- which I believe was more of a puzzle than a boss fight, what with all the timing and aiming with your Spinner and everything. Ganondorf gave little challenge at all- and in fact got progressively easier as the battle went on.
I haven't played SS or WW yet, but I expect this factor to be somewhat similar.
So yeah, I'd make OoT, MM (sort of), TP (definitely), PH and ST, and probably the other 3D games, much harder in their miniboss and boss fights. A lot of them had great concepts, like the Dragon in CitS or Phantom Ganon, but were just too simple the way they were, and I would change them to make them much more difficult.