1: Twilight Princess (Shocker, isn't it?)
2: Wind Waker.
3: Ocarina of Time.
4: A Link to the Past.
5: Majora's Mask.
"WHAT?!" Says everyone who read nº 1 and 5. Yes, my favorite is TP, so what? I felt that the quality of the story telling was much superior to any previous Zelda games, plus, I started OoT when I was young, and it was my first Zelda game and RPG, so I had a much harder time getting into it.
Also, about nº 5, I couldn't really ever get into Majora's Mask, even though I enjoyed it when I played it, I just couldn't snap into it like TP or OoT.