Would it be too cliche to say Ocarina of Time? There are reasons why it is largely considered one of the greatest video games ever made, after all. Hyrule felt like a real fantastic place. Most of the appeal of that game is in exploring every nook and cranny for hidden secrets and marveling over Hyrule's many mysterious wonders. I love getting lost in it and talking to characters again and again even if they say the same thing every time.
Ocarina is challenging but fair (in large part) with tight controls, spot on design and so many wonderful charms and intense dramatic moments from beginning to end. It wasn't just ahead of the curve for its time, Ocarina of Time remains largely unmatched to this day.
I enjoy Twilight Princess for many of the same reasons, though its design makes it fall just short of Ocarina. The same sense of wonder that prevails across Hyrule's fantasy setting is there in Twilight. This feeling is the biggest reason I am drawn to the series and it is a feeling that only a select few Zelda games manage to successfully capture. Both Ocarina of Time and Twilight Princess manage to do so in equal measure.
Of course, there is Ocarina's dark cousin, Majora's Mask. Everything Ocarina did Majora did to greater detail, though I still consider Ocarina the superior game, not that it matters. Majora's Mask was more dense, more detailed. From the constantly evolving world to the detail of the regions of Termina and its denizens, Majora's Mask presented a sophisticated narrative with many subtle nuances that really resonates.
Ocarina of Time is still the purveyor, and the initial impressions it made are not easy to surpass.