Can I just rank them?
I haven't played them all yet, but I have loved every Zelda game I've played.
1. Skyward Sword
The first Zelda I played and still my favorite. I love everything about this game: the epic story, the focus on characters, the worldbuilding, the colorful landscapes, the endless side quests, etc. What I don't like: fighting the Imprisoned three times.
2. Twilight Princess
This one also has an epic story, great characters, and amazing worldbuilding. Basically I love anything that feels like a fantasy novel.
What I don't like: the enforced wolf sections (sorry), and sometimes the colors are so dark I can't see a damn thing and get eyestrain.
3. A Link Between Worlds
I haven't finished it yet, but I've done most of the dungeons, so it's a safe bet to say I love it. The only thing it's lacking for me is a bigger focus on story like the preceding two games. Where are the cutscenes? Hilda's short monologues are awesome but don't really count. I want more character development!
4. Link's Awakening
Man, do I ever love the surreal plot, the bittersweet ending, and that mystical owl telling me random things about the island. XD Not to mention the inclusion of so many Mario creatures. I wish I could play the DX version though.
5. BS Zelda Ancient Stone Tablets
Yeah it's not officially in the series, but I can't be the only one to have looked up an emulator and played this game out of curiosity. The enforced speed run is not really my forte but I liked the challenge once I got used to it. It has great replay value.
6. BS Zelda Maps 1 & 2
These count as one game IMO. Basically the original Legend of Zelda with updated graphics. Best of all, you don't have to farm for rupees if you're diligent about destroying everything in your path, and there's nothing as satisfying as killing enemies with the boomerang. Why this hasn't been released as a third and fourth quest to LoZ (and Ancient Stone Tablets released with ALttP) is beyond me.
7. Adventure of Link
This does NOT deserve the hate it gets. It ate my soul for about a week as I persevered to beat this game. It's probably the hardest game I've ever played. Grinding for experience points is a pain, but there's so much hilarious awesome I can't even list it. The ancient Egyptian-esque villagers, the fact that Hylians enslave their rare wizards in basements, seeing Link walk in a sidescroller, Link speaking the first and last random line he'll ever say ("I found a mirror under the table"), Link getting hazed by lizalfos on his way to death mountain...I could go on. XD
8. Legend of Zelda
I like this game a lot, but I would rather fight Thunderbird a hundred times than get cornered by blue darknuts in a dungeon. While it is immensely satisfying to bomb random walls and collect items, and/or get skinned of all your rupees by evil old men, Hyrule is just too barren for me in this game. Also those dungeon rooms where you can't open the door until you defeat all the enemies in a tightly confined space are a pain to get through. Not to mention wizzrobes and losing the use of your sword via bubble in the second quest. >.< I can't even count the number of times Like-likes have eaten my shield.