Well, this is a no brainer.
Majora's Mask by far. Everything is already said.
But people tend to completely overlook some darker implications in TP.
There is the sceen where it's implied that Link stabbed his girl friend. It was all a vision, but still. II still can't wrap my head around it. I mean Link stabbing an innocent girl?
(2:54 -> Link's rape face)
Or the fact that the Skeleton Warrior that teaches you is most likely Link from Majora's Mask.
Every Zelda game has some darkish undertone. I mean, evil is usually winning most of the time until the very end. In OoT only Ganondorf knows how many people died, in WW the whole land was flooded (count the bodies), in Skyward Sword an insane number of people died in the first war before the Goddess lifted Skyloft.
But Majora's Mask is the darkest because beside all that, it was heavily focused on the side character and the fact that you can't save them all. There are side quests that require that you let someone get hurt in order to proceed (the old women getting robed).
And just look at the transformation animations. Especially the Zora one. You can really feel the pain from just looking at it.
And the world really feels alive. Most character are normal at day one. At day 2 they are somewhat worried. At day 3 they are depressed and at the night of the 3rd day, they are completely desperate. The world changes with every 12 hours and you can see that. I don't even know how many times you have to rewind the time in order to just look at every character in every stage of the game.
And then add the fact that the Fierce Diet mask is actually far more evil than Majora.
All that on the shoulder on a child.
People like to say that Nintendo games are just for kids. Well, I would really disagree. There is no light Zelda game. Every Zelda game is dark. It's just that it's not the standard darkness, but most of the times it's implied. Kids can play the game without even noticing any of the darkness (except MM), but when you really think deeper about it, the Zelda universe is rather fucked up and dark.
P.S.
We need more Link vs Dark Link fights in the next Zelda game. Wouldn't it be awesome if the main villian in the next Zelda game is actually Dark Link? Imagine a fukken duel against Link and Dark Link. With some great battle mechanics. Improved motion controls.
Also, it would be mindfuking when you beat Ganondorf and find out that he is actually a marionette.
Or to keep the Zelda formula, Ganon is still the main, but you find it only out when you beat D.Link. Until then D.Link is pictured like the main guy.