Link's Awakening. Apart from being a technical feat and introducing new mechanics, it's also a brilliant interpretation of the Siren myth. It actually made me feel bad about beating it back then and I still like that melancholic quality it has.
LttP comes in second, I guess, though I still need to play the later games through. Minish Cap was too easy and felt like Pokemon, so I'm not sure why I'm mentioning it.
The NES games are pretty outdated and no longer much fun for me... One thing I wish every Zelda had though is a second quest.

