I know it's a cliche, but Majora's Mask is definitely one of my favorite Zelda games. When I first played it, I was surprised by how unintentionally dark it was; since the game contained three full day's worth of events, if you played your cards right, you would be able to visit pretty much anywhere in the kingdom at any time of the day; some of the events on the third day before the end were sort of sad. Like Cremia and her sister; there's this running thread through their little side story that only adults can drink the milk from the farm, so she never lets her sister have any; if you talk to them on the third day, before the crash, she'll tell her that she can have some because she's an adult now, or something like that, and she can sleep in her sister's bed tonight. It's like she doesn't have the heart to tell her they're all gonna die. Majora's Mask was like the Ernest Hemingway of Zelda games; the game itself was good, but it was these little side stories and characters that fleshed it out and really drew you into its environments.
Oracle of Seasons and Ages for the Game Boy Color were also pretty cool, though. Me and my sister still play those sometimes; if you play one, you can use a code to link it to the other one and get the full story. It was like Pokemon (two versions), except both versions had completely different items, dungeons and storylines, so they were actually two full games. And of course the puzzles were awesome; if you managed to beat both of them connected together, you could do the super-difficult Hero's Cave, which had some of the trickiest puzzles in the series.
For all the things that I never did
For all the places I never was
For all the people I never stopped
But there was nothing I could do..."