This is very nearly exactly how I feel.
Ocarina of Time was the first Zelda I played, and I was six years old. I inherited it from my grandmother, and after weeks of watching her play it - when I finally played it on my own - it was like I became Link, and I was the one experiencing the adventure; rescuing Zelda; restoring Hyrule. Some of my fondest memories are of playing that game, and I hold the game itself very dear to my heart. So, naturally I was excited when Majora's Mask was in the works. My grandmother and I kept tabs on it, read all the new information, and generally shared our excitement and thoughts about where the game might go. She preordered the special edition cartridge for me, we were so ready to have it.
When Majora's Mask finally did come out, and I played it, I cannot describe the feeling it gave me. Honestly, if I could live in any Zelda world, that would be it. I loved the sinister feel over everything. Link set out and suddenly found himself in this new, horrifying place. The dark themes, foreboding feelings and somber looks of the game greatly appealed to me then, and they still do today. I wish there was another Zelda like it. Twilight Princess tried (and don't get me wrong, I love it) but it feels more tragic and sorrowful, rather than downright eerie. I love the way you get the creeping feeling of death and impending apocalypse, the closer you get to the third day. The characters are amazing, the plot is very detailed, the dungeons are difficult, the bosses are outstanding and the game itself is very thought out in a way that most Zelda games, today, aren't.
So, Ocarina of Time and Majora's Mask are - and always will be - my favorite. Out of the two, Majora triumphs... but Ocarina still has my precious childhood memories.