Morally, the Legend of Zelda series is pretty cut and dry. "It is good to be good. Bad guys are bad". This is pretty much explained with heroic Link fighting against evil Ganondorf- and that's pretty much it for the entire series. All the badguys seem to be just the same- all bad. There isn't really too much anyone can learn about morality from the series, that I can see.
Here's a couple of life lessons that I learned from the series, though:
On Friendship:
Ocarina of Time- No matter how annoying they can be, a true friend will always be there to help you out (referring to Navi)
Majora's Mask- People without friends can do very rash things. So be a friend to those who need it.
On Women:
Ocarina of Time- All chicks your age will like you if you wear green and carry a sword. (Seriously, ALL OF THEM)
Twilight Princess- It is impossible to read one. (Referring to Telma, Midna, and Ilia)
Skyward Sword- If a girl flirts with you as much as Zelda did, SHE LIKES YOU, DUMB-***.
The Legend of Zelda series as a whole- If the women don't find you handsome, they should at least find you handy. (Seeing how Zelda gets you to do a ton of crap for her... Or was that Red Green who taught me that...?)