The Only Zelda games I've beaten more than twice were the Gameboy Color Oracle of Ages/Seasons games, both of which I beat at least 20 times. That's a conservative guess and may or may not be annually. Beat them 100% when possible (there's a luck heart piece from Maple and the Gasha trees that I sometimes never got, and to this day, I never got the first gen ring, after maybe 20-50 playthroughs, it's ridiculous). Those are actually the most beaten games I have, I've never beat any other game more than 20 times.
I liked Majora's Mask, never beat it, had loads of fun.
I liked Ocarina of Time, never beat it, had loads of fun.
Beat Link to the Past twice, played the crap out of it when I was little but always made a new game before fighting Ganon because I was chicken.
Beat Twilight Princess once and stopped at the last dungeon on the second playthrough, loved the game. Beat it 100%
Beat Wind Waker, stopped, somewhere in the second playthrough (or third, I may have beaten it twice, I can't remember), loved the game.
Got owned first time playing Zelda 2, never played it again. Beat the first dungeon in Zelda 1.
I really can't pick a favourite, although a safe bet would be the ones I played obsessively and beat more than twice. =P
Edit: And Minish cap, beat it twice. Was great fun and I especially liked the special moves, I found a glitch that lets you do the roll stab as soon as you start rolling, although it takes really good timing and I failed it most attempts. Beat it 100%