Personal favorite is Majora's Mask. I loved how dark and psychedelic it was as well as the originality and how different from the other Zelda games it felt. It's a shame it often falls in the shadow of OoT which is good, but also pretty overrated in my opinion.
For the record, I have never played Windwaker, The Adventure of Link, Oracle of Time/Seasons, or the two DS games. Out of those I have played, the order goes a something like this:
1. Majora's Mask
Like I said, I loved the darker and psychedelic themes of the game. The clock system was really innovative and fun in my opinion. It really added a sense of imminent doom and actually made you feel for the characters. Also nothing beats swimming like a dolphin as a Zora!
2. Skyward Sword
Fantastic game. I loved the art style and the motion controls. The story was compelling and it was the longest Zelda to complete for me so far. The storytelling was much better than in previous Zelda games in my opinion. It is the only game in which I felt like I actually wanted to save Zelda. Not just to beat the game, but just for the sake of saving her. The only problem I have with the game is how the 3 main areas were disconnected from each other. It felt more like levels than an open world, which is a bit of a shame. And the sky didn't feel that big. It was mostly the main island, that other island with the pumpkins, the cloudy area and a bunch of scattered rocks. But overall it was still one of my favorite Zelda experience.
3. Link's Awakening
I realize that the main reason this game is so up in this list is probably mostly because of nostalgia. But I don't care. This was the first Zelda game I have ever played and I've loved it ever since. The story was different from thee classic formula, which is a good thing and the twist actually took me by surprise. I never beat the game when I was a kid, but I replayed it recently and realized how good of a game it is.
4. Ocarina of Time
I think that this game gets too much recognition. Yeah, it was innovative and it set the standard for all new Zelda games that came after, but I found the game as a whole to be too linear and predictable. Don't get me wrong, it's still an excellent game by all means, but I don't think that it's the best.
5. A Link to the Past
People often mention it as the best Zelda game ever, but I just don't find it that special. To me it was underwhelmingly short and easy compared to the other Zelda games. The fact that I played OoT before playing ALttP probably set my expectations too high. It's a good game overall, but there's just nothing very special about it.
6. Twilight Princess
The graphics were really good at the time it was released, but they haven't aged too well. I think it tried too hard to bee gritty and dark. I mean, it was an alright game but it felt much more linear than the other games for some reason and that's something I disliked. Also, the wolf segments were only annoying and tedious at best.
7. The Legend of Zelda
It took me a while just to get into the game. The game gives you virtually no indication of what you need to do and is really confusing without using a guide. The story is pretty much nonexistent except that you have to find pieces of the triforce and save some princess.Nonetheless, it was still fun to try to figure where to go next and draw a map to find out which areas you hadn't explored yet. It's a classic, but yeah... most subsequent games were better.
8. Minish Cap
I don't think it really is fair for me to put it at the bottom of this list seeing as I have never actually completed the game. But that's just it. At one point in the game I became bored, put it down and never played it again. It never happened with any other Zelda games (not even Zelda 1), hence why it's at the bottom of my list. I should probably give it another chance some other day.