Talking about 2D game I'd say Link's Awakening, because of its dreamlike atmosphere, the lovely music and the bittersweet ending, with its awesome final cutscene.
But the thing that I like the most are the dungeons, they're all imagitive, clever and you're supposed to use all of your items, without forgetting about them along the way; and Roc's Feather, wow, I loved the jumping mechanics and the side scrolling parts, with Koopas!
Regarding 3D games, I'd definitely choose Majora's Mask, creepy, haunting and weird. I loved the way characters are portrayed and the trasformations are something I'd like to see more often. Then, I'm really hooked on every game has a trip to the moon, I find it intriguing and the Moon in Majora is magical to me. Last, the Happy Mask Salesman is super cool.
A special mention goes also to Oracle of Ages, which was my first Zelda game.