Of all the Zelda games my fav is Wind Waker... being that i can't say that xD....
From those three my fav one is Majora's Mask without a doubt.
The first time I played it i was a little skeptical, due to the three day cicle and the fact that you must restart every dungeon and subquest if you play the song of time and my first playthrough wasn't very deep. Once you start doing the subquests you start to see the brilliant part of the game: characters, their emotions, reactions and stories... This game is much more alive than many other games and that's what it makes it great, not to say the main story and the dungeons aren't good... they are awesomely well designed and the story is one of the best i've seen
The fact that Link grows up by helping people reach happiness even with an inevitable death at hand is one of the best thing in Zelda series, or in videogame industry in general, and has a deep meaning in real life too: to be happy even if you're through bad times
The second one would be OoT, its story is good and is an awesome game in general, only thing i don't like is (like many people... i suppose) the water temple, as switching between the kokiri boots and the iron ones was tedious.
The final battle was epic and one of the best bosses i've ever experienced, and this game meant a new Zelda era
Last in this list is Twilight Princess, to tell you the truth this game dissapointed me, as it got my hopes high with comments like "this will be the next best Zelda game", when i played it it was okay, but the tears of light thing was annoying for me, i didn't like midna at all and I felt the dark story kind of forced (unlike MM where darkness is an implicit factor in the game, with no forced features like the twilight covering hyrule)
Even so twilight princess was a great game, and had its moments, like the fight against the death and the double clawshots were awesome
And that's it for my thoughts