To be honest, I'm really not sure what my favorite Zelda game is. It's either Wind Waker, Link to the Past or Link's Awakening.
I actually don't find most Zelda games all that fun. I play them to appreciate their part in Nintendo and gaming as a whole.
I'm still in the middle of Majora's Mask, but I might not finish it because that game because the 3 day countdown is so dang stressful to me.