My favorite for the longest time has been A Link to the Past. The only problem I actually have with that game is its length. It's way too short.

I can't actually say it'd still be my favorite though. I haven't finished Twilight Princess, and I do like most of what I've played of it. I also haven't played more than the very beginning of Wind Waker, but the gameplay on it was good from what I experienced. The storyline also seemed interesting.

I have no excuse for not playing Twilight Princess other than giving other games priority over it, either. I really should get back to it sometime.

Ocarina of Time was a great game, but it was still second to A Link to the Past for me.

And the only Zelda I didn't like was Majora's Mask. I've finished the game, but something about it I just didn't like. I think it was the storyline.