It comes down to The Ocarina of Time, Majora's Mask, and A Link to the Past for me.
With A Link to the Past, I really liked the atmosphere. Specific tracks in A Link to the Past are my favorite soundtracks of all time (Time of the Falling Rain and the Over-world theme.) The only problem with it is that I am terrible at the game.
I'm really bad at top down view games and I am clumsy with the controls, so I die a lot. And going through a dungeon multiple times to die just as easily at the boss as I did the previous time gets frustrating. So I love the game, it just doesn't provide the best experience for me.
For Ocarina of Time, it was the first Zelda game I ever played, and basically got me in to gaming. Everything there is to be said has already been said about this game. So I'll just say that I liked the story, the music, the game play, nearly everything. And with Ocarina of Time, it is a game that I can start a new play through any time without getting bored. Link pulling the Master Sword in Ocarina of Time is my favorite scene in all of Zelda. The only problem I face with Ocarina of Time, is that I can never really experience it for that first time ever again. I know the story so well and I've played it through so many times that it hardly has any effect on me anymore. And I'm a person who plays games mostly for their stories.
So, I would have to say Majora's Mask is my favorite. Everything I said about Ocarina of Time goes for Majora's Mask except that the story is still potent for me. There are underlying themes in Majora's Mask that I didn't really understand when I played it first, yet I still felt them. Playing through kind of helped me identify grief and grieving people better. That's how I learned the 5 stages of grief represented by each of the regions in the game (denial, anger, bargaining, depression, and acceptance), and ever since I have respected the game so much. So definitely, I love Majora's mask, and it is my favorite Zelda game.