My favorites:
1) Link's Awakening. I guess because it was my first Zelda bought (not played, that's OoT). I must've spent like a total of a year and a half playing that. O_o
2) Minish Cap. It was a lot of fun. I could not keep my hands off it.
3) Majora's Mask. Sure, it only had five or six dungeons in it (four main ones, and then there's like two or three other ones, I don't remember well enough.) but the world was large and very believable. I especially liked being able to follow characters around. Mask collection was kinda cool, I guess.
4) Ocarina of Time. My first Zelda. When I played it, Hyrule seemed to just eat me up. I became entranced with the game. I felt as if Hyrule could truly have been a real place- and back then those graphics just blew me away. (I know- but back then THOSE WERE THE BEST GRAPHICS)
5) Oracle Series. I just did. I must've played it for a long, long, long time... but not as long as Link's Awakening!
6) Windwaker. I liked how each NPC was different, like in Minish Cap. I also loved the art style. I heart cartoons.
7) Link to the Past. I liked it alot. After playing it a while, it kinda gets easy but yeah.
8 ) Legend of Zelda. I liked how unlinear it was. Sure, it had litte story but so what? I liked exploring Hyrule on my own.
9) Twilight Princess. I don't care what anyone says, those graphics were good. The story was good. I wish there had been more horse fights but whatever. I also wish there were more people to interact with... Hyrule Town itself seemed dead. The whole world seemed to have died (but maybe that WAS the idea).
10) Adventure of Link. Errrrrrrr... Its hard but at the same time it can be quite fun when you level up some and start getting better reflexes.
Why did I list every Zelda? Because I like them all. So I listed in order from most to least favorite. The first 9 were like bunched up tied for 1st (except Windwaker, I would've given it a 2 and AoL a 3).