I think that majora's mask can be very deep in emotions at some points in the game like when you play the song of healing and the cutscene that follows is usually very sad especially the one at Ikana with the girl and her father.
I don't think that nostalgia is the right word for what the topic is about. Nostalgia normally refers to the feeling you get when you experience something you experienced a while ago. Majora's Mask probably has the least nostalgic feel of any Zelda games, since it's so different from the rest of the series and isn't as old as something like The Adventure of Link.
Of course, if you mean it contains a lot of emotion, I'd say that it definitely has the most. Just re-reading some of the stuff about Majora's Mask brings me close to tears of either sadness or happiness. The game walks a really fine line of devastation and hope, but it does it well.
Like Octo Rocked, I don't think that nostalgia is the word, I think that its more like some magic that this game has. I got to say, I own only WW and TP, TP It because its my first zelda game and because I have a wii, WW its because the Dolphin emulator didn't work so good, except these games, I played the others in emulators, I tried to play MM on emulator but then I felt this magic and I couldn't play....... that magic made go out and buy N64 and MM. there is something that just make you want to remember It, something deep.
Once, someone asked me to show them a game that could bring about true emotions. I pointed them to Majora's Mask. Even now, some of the sequences with the Song of Healing cause me to tear up a bit, most notably the scene with Pamela and her father. I can honestly say that no other game since has managed to take the player on such an emotional roller coaster.
I like to think that it's the most emotional game in the series.
The theme of the game is a feel of hopelessness, it's meant to give you the feeling of remorse because that's the way Link is almost acting towards Termina, by trying to save it.
Termina is a doomed world where everything is slowly declining, the pessimistic thoughts of the characters in the game, the doom of only having 4 days, even the word Termina can be related to the word "Terminal" which is a synonym for ending, final and lethal.
Everytime I play it, it's almost like watching an incredibly sad film...