I am torn between MM and TP on this. I've not played LA, so I cannot say for sure, but among the games I've actually played, I'd say either MM or TP, and *maybe* TP edges out MM for me just a tiny bit....
With Majora's Mask, you have an entire world that's doomed, the source of that doom easily visible overhead. You see people in denail - and oh, man, is it ever heartwrencing to see people in denail of a problem... then, they start to realize. Even though some go to take refuge, some realize that there really is no escape. Add to that Termina's heroes, who tried to save their peoples and failed, who must rely upon Link to wear their faces and take on their guise to set things right. The boy does not even get credit for himself, acting in their stead. Then, whenever time is reset, everyone's embroiled in the problems Link once solved.
Though, beat the game and everything becomes right in the end.
Twilight Princess is sad for me because of the tone... the darkness, the people being turned into uneasy spirits, the banishment of the Twili, lots of things. One minor thing for Link is that while he is a wolf, he cannot reveal himself to his friends and Ordon "family." His own mentor will attack him with a sword early on if he gets too close. Then you meet the ghost of Rutela, a proud queen who was executed before her people, and must carry her last wishes to her son (whom you see later mourning deeply). To boot, you find out that those shadow beasts you've been killing are the Twili people (and the occasional Hyrulean, like the general store lady of Kakariko), transformed. Then, the end... I'm sure the spoilers have been flying here already... the end, when Link's closest companion on his journey breaks the only connection between the worlds. I think the Link of this game and Midna had a closer relationship than did OoT Link and Navi, so it strikes me as very sad.
What seals this for me is, unlike MM, where winning the game sets most things right (the dead heroes remain dead, but the rest of the world survives), EVERYONE in this game who is gone or dead stays that way. They will not be coming back.