I find it very difficult to answer the question of the one game in the series I like the most, so I voted for several games and I will give you guys a brief summary of my reasons for liking the games I picked over the other ones (not meaning I don't like the ones I didn't pick).
Adventure of Link: Rumor has it that this game is bad, while it really isn't. Zelda 2 - The Adventure of Link is a great game, and there's nothing to argue about that in my opinion. Wether or not it is a great Zelda game...Okay, I'll admit, that's arguable. Sure, it can be frustrating at times, but to me it's a great challenge every time I play through it, and I really enjoy the fast gameplay in the dungeons. I'm not saying this game has no flaws, but I just enjoy playing it every now and then when I'm not in the mood for a game with minute long cutscenes, but rather just want to dive right into the action.
A Link to the Past: With ALttP not only being the first Zelda, but the first video game I've ever seen, and my 3 year old self being totally blown away by how awesome this game was, I think it's not hard to understand why I chose this as one of my favourites. This game has everything a Zelda needs: creepy dungeons, cool boss monsters, and one of the best soundtracks in the whole series. I love this game, and I will play through it over and over again.
Majoras Mask: Of course this one had to be on my list. The funny thing is, that back when I got this game for my birthday, I had really wished for Ocarina of Time. My mother, however, just saw "Zelda" written on the box and bought the game. And that was the beginning of a neverending love. I just love how alive the world of Termina seems to be. All the NPCs have some sort of backstory, and though a lot of the game's themes seem to be very dark and sad at first, there is always that glance of hope shining through. And of course, it was just awesome to transform into a Deku, a Goron and a Zora. I simply love this game, and have a ton of treasured memories about playing it.
The Wind Waker: Oh Wind Waker, how I despise your overworld. Well, okay, I don't. At least not throughout a mayority of the game. Besides the time when you have to use the pearls to make the Tower of Gods appear, I don't find it that annoying at all (and I only find it annoying then because I always complete my map after meeting with Jabu and before going to the tower). Just as all the other games I'Ve mentioned so far, this one definitely has it's downsides, but I can easily overlook those for the great artstyle, the colorful cast of charakters, the music, the overall gameplay, and the so far best characterized Link in the whole series.
Twilight Princess: A lot of people don't like this game, and once I was one of them, too. Then I thought I should give the game another try. And ever since then, I love it. I lvoe transforming into a wolf, I really enjoy the story and the characters, Zant being one of my favourite villains, I think some of the bosses and dungeons in this game are great, and the final showdown is just the most awesome thing I have ever experienced in a Zelda game so far. Many people hate it, I can't really see why anymore. I love it.
Skyward Sword: Though I've only played through this game one time so far, I really liked Skyward Sword. I enjoyed the controls and the overall gameplay, and I thought it was genius how the areas surrounding the temples were used as "pre-temples", if you know what I mean. I liked the new races they invented, some of the bosses were pretty cool, and in the end I saw my theory about Ganondorf finally become official to the plot.