I think it somehow depends on what your likes/dislikes are!
Considering graphics, if you want to play a 2D game, for the console I recommend playing aLttP first and then the older ones (LoZ/AoL) because I always found that aLttP is a lot easier, regarding both enemy strength and puzzles.
For the Gameboy (Color) - I don't know if the GBA has a downwards compatibility or not - you can choose between Link's Awakening (which might be a tad easier than aLttP) and the OoA/OoS games. I just started with OoA and from what I've seen is that while using the same engine as LA and adding to it, the dungeons seem a lot easier but the end bosses are a bit harder.
Now to the 3D games besides TP (you should be able to play them all with Virtual Console): OoT is the first 3D game and a "classical" Zelda with many dungeons and fewer sidequests. Majora's Mask is a lot darker, emphasizes much more on sidequests, has less dungeons but harder bosses and is very difficult to complete 100%. I honestly can't say much about Wind Waker, I somewhere played it a few minutes and personally I didn't like it at all (the graphics are very fancy and bright - almost anime-like - and that actually made my eyes hurt after a few minutes) But if you do like anime, a rather light-hearted game, an extremely young looking (I'd guess ~6 years old) Link and - from what I've seen - a very easy gameplay, then you'll probably like it.