My least favorite Zelda game would have to be Adventure of Link, not because it is side scrolling, but because I just didn't like how convoluted everything was. It was a time when Zelda was really trying to figure out what kind of game it really wanted to be. Nintendo did this with Mario 2 as well. Mario 2 was vastly different from the first game. The only Nintendo game, besides maybe Kirby games which are all essentially the same game, that's direct sequel felt like the first that I can think of is Metroid. I feel that if Zelda had tried to do something similar in the second game it would have been a much better game.