Ocarina of Time for me. It was the first Zelda game I actually finished. Its only negative quality was the annoying sound of, "HEY, LISTEN! HEY, LISTEN! HEY, LISTEN! HEY, LISTEN!" My second favorite was Twilight Princess because it felt like a new version of Ocarina of Time. Some people call it a clone of Ocarina of Time, and I see where they're coming from, but the reason I liked it was because of how much I enjoyed Ocarina of Time.
Believe it or not, I actually liked everything about Majora's Mask except the annoying three day time limit. Some people think the time limit made it fun, but it just frustrated me. I would be in the middle of a dungeon about to fight the boss, when it would get close to the end of the third day and I would have to go back to the first day and lose every key I had collected in the dungeon except the boss key. Then I would have to go through the dungeon all over again. I know the only things you lose are the keys, rupees, bombs, arrows, etc., but I hated having to get the keys again just to get to the boss. It felt like I had lost all the progress I had made. Honestly, I could have enjoyed Majora's Mask a lot more if it weren't for that three day limit.
The Zora mask was awesome, though. You gotta love the Zora mask!