I generally like to think I'm pretty good at video games in general, although I used to be absolutely terrible. I still have trouble with some types of games like racing games and strategy games (and FPSs with some control schemes), but with Zelda games I usually do just fine. I tend not to know what the game over screen looks like most of the time.
I do kind of have trouble with some things in Zelda. I'm no expert at stealth, so the sneaking sections in some of the games at least make me really, really nervous, although most of the time I get past them just fine. xP I also get really nervous in some of the things with limited control like in Majora's Mask when you're riding the milk cart and being chased by the Garo brothers, or in Twilight Princess that one part... that was mentioned by someone above. I really need to replay that game. >_< There's also the part of Majora's Mask where all the aliens come to Romani Ranch. I get extremely nervous, but in recent experiences I get past all of these just fine. I don't usually have too hard of a time with many things in Zelda, I just feel like I'm having a hard time.