I personally think that the best game overall is A Link to the Past, simply because everything just comes together so nicely, especially the gameplay, which is more or less perfect (something that can't be said for the understandably sometimes clunky Ocarina of Time and the slightly less understandably far too easy Twilight Princess). The items are all put to good use throughout the game instead of just being one-dungeon gimmicks. The graphics are gorgeous for 16-bit, and the world is filled with color and detail. The dungeons are challenging without being frustrating, and the boss fights are some of the series' best. The music is some of gaming's most memorable. What's not to like?
Ocarina of Time comes close, though. It has quite possibly the best original soundtrack of any game ever. The gameplay is obviously top-notch, though there are some flaws and frustrating moments here and there. Most of all, though, it displays the series' setting, general atmosphere, characters, overarching plotline, and themes (basically, all the storytelling elements) in a kind of broad, sweeping way that none of the other games in the series have been able to match before or since. Somehow, even though most of the other games in the series portray their worlds in much more detail, Ocarina of Time's still seems the most fully realized.
And of course the other games have their own merits. Wind Waker is by far the best looking game in the series, and kind of reminds me of a Disney movie (I mean this in the best way possible), though its climax and ending are oddly some of the series' most mature and philosophically complex moments. Twilight Princess is sleek, modern (as modern as Nintendo gets, anyway), and the most cinematic and action-packed game in the series. Majora's Mask takes the story and basic gameplay tools to some very unexpected, dark, weird, and most of all fascinating places. And of course, the original game not only started off the whole series, but arguably pioneered the entire realm of the narrative video game.
So yeah, with just a few exceptions, Zelda can really do no wrong.
P.S. I know I'm neglecting the handheld games here, but I haven't played them in a very long time. But um...yeah, they're all good.