Welcome to ZFGC, bradleyshorwith! ^_^
I have used Game Maker ever since it came out, though I haven't had done much programming in the last few years.
I do remember that, when I started, I was all excited about making an RPG as my first game, which was a huge undertaking and of course it failed.

I suggest that you start out with something simple just to get more familiar with how GM works.
A SIMPLE ZELDA GAME IDEA:Make a game where Link must collect all of the rupees while avoiding enemies in order to win. Much like pac man, kinda sorta.
For your first game, you should just be trying to get familiar with GM.
So you don't need a menu, you don't need to make the game super long or anything, don't try for making a huge over world or even use of a sword, just keep it simple.
FOCUS ON:- Learning how to make objects move.
- Learning how to animate Link properly (this will probably be the hardest).
- Just getting a feel for how GM works and to learn the basics.
YOU WILL NEED:
Sprites:- Link character with walking animations for up, down, left, and right.
- Solid wall or block
- Rupee
- Enemy (just choose a simple one like a blob; one that doesn't attack, just moves)
Sounds:- Rupee collect
Backgrounds:- Some kind of background
Objects:- Link
- Solid wall
- Rupee
- Enemy
Rooms:- Game room
That's just an example. If you want to do it or something like it, I should be able to help answer some of your questions and/or make you a few examples.
Good luck!

EDIT: (to be on topic, lol)
Oh yea, I also liked Shadowgazer. Very professional game. I haven't seen anything really that makes me think there has been any progress on it ever since it switched to being an "original" game though. And that was a while ago.