MM, having all the different instrument of the different races.... then if you look (and listen closely) you can hear and play some older music ( Ballot of the Wind Fish ).... ...
But in a way OoT too saying that it also has one of my favorite songs, the Song of Storms .... I rather enjoy that song.
Might sound cliche, but definitely the Ocarina of Time from...Ocarina of Time. OoT was my first game and I fell in love with the warp songs immediately. Minuet of Forest and Serenade of Water are my favorite ones. They are so enchanting! *-* The songs from MM, other than the Song of Healing, don't have the same powerful influence as the ones in OoT.
If it was a matter of favorite instruments, I'd have to go with MM. It was awesome to be able to play the ocarina AND the guitar, AND the drums, AND well, deku horns! (I think thats what they called it). As for favorite songs to play, I'd have to go with Oot. Seriously, those were some of the best Zelda songs ever!
I know a place you can get a great ocarina! STL Ocarina they have an awesome 12-hole hole ocarina and a double ocarina! if you don't know what that means, just check there Zelda section. its pure awesomeness.
Oh yeah! If you don't have the cash for the 12-hole ocarina, you could always use the 6-hole sweet potato Ocarina of time replica. Here's the Link (doesn't that always remind you of a certain someone when people say that?):Songbird Ocarinas. Just scroll down a little until you see the different sections, than click on 6-hole ocarinas.