It's a pretty close tie between Sands of Time and A Link to the Past, but I'm going to have to go with Prince of Persia. Zelda is always solid and Link to the Past has always been one of my favorite games of all time, but Sands of Time has this amazing feeling of progression both in the characters and the environments, which lends itself very well to an incredibly immersive and well told story. I really cared about those characters by the end of the game.