I'm going to go ahead and say Majora's Mask is my favorite. Go ahead, bring on the decelerations of insanity. While I'm at it I'll just copy and paste my Majora V.S. Ocarina rant from another thread.
Don't get me wrong Ocarina was incredible, but I thought there was something magical about Majora. Ocarina's Hyrule was a huge world to explore and I really enjoyed it, but to me it felt like butter spread over too much bread compared to Majora's Termina.
Majora's overworld had incredible detail for the time. Ocarina's over world had flat and lifeless NPCs that were generally nailed to the ground. Majora's NPCs however were incredible! They all had places to go and things to do and the game had countless little easter eggs relating to NPCs and they're dialogue. To this day I still find things every so often I didn't know about. (This is really saying something. I have 100% completion for this game.)
Another thing for me was story. No one can deny that even at the time neither Ocarina nor Majora were charting new ground in the story department. But Majora just had something magical about it. The usual quirky Nintendo presentation combined with the sense of dread and impending doom that permeated Majora created a game that had an atmosphere like no other. To this day I haven't experienced the same feeling of dread as the first time I reached the night of the third day. The moon is hovering so close you could touch it, the night sky is shot with an eerie red glow, the clock on your HUD ,which normally gives the the time and which day it is, turns into a timer that counts down to impact, and no matter where you go a piece of music called the The 11th Hour begins to play instead of the normal soundtrack. It still send chill's down my spine.
It saddens me greatly there are Zelda fans out there who can't appreciate Majora or still haven't played it.