Warp songs. They're the fastest ways to travel and so convenient. I don't have lots of patience to go on foot all the time... It might take 10 minutes to go from Clock Town to Woodfall in MM -_-. Also, the warp songs on ocarina are pretty nice, sometimes I played the song just to listen to it (the Serenade of Water in OoT is my personal favorite) =)
If there weren't any warp points... well, my secondary choice would be Epona. She's pretty fast, too. And I loved shooting 'them' on Epona XD