As Sir Quaffler and JuicieJ have said, I'd vote Majora's Mask. Granted, I don't think most Zelda games have gone out of their way to make you think deeply about your actions or the world in general. "Gameplay first, story sometime later" is generally Nintendo's creed when it comes to Zelda, so with the exception of a few well-thought-out story moments in a select few Zelda games, I don't believe any Zelda game was meant to be very philosophical.
But when it comes right down to it, Majora's Mask takes the prize for me. The Moon Children near the end of the game, the sadness pervading Termina, and the constant symbolism can't help but make you periodically think about what you're doing and what it really means. Who or what are the Moon Children? Why is Majora's Mask so determined to destroy everything? Did the relationship between the Skull Kid and the Four Giants really deteriorate that much? The game makes you wonder so regularly that at some point it has to become philosophical. As a whole, Zelda is probably not a philosophical series, but Majora's Mask definitely seemed geared in that direction.