The Legend of Zelda
Zelda II: The Adventure of Link
The Legend of Zelda: A Link to the Past
The Legend of Zelda: Link's Awakening
The Legend of Zelda: Ocarina of Time
The Legend of Zelda: Majora's Mask
The Legend of Zelda: Oracle of Seasons
The Legend of Zelda: Oracle of Ages
The Legend of Zelda: Four Swords
The Legend of Zelda: The Wind Waker
The Legend of Zelda: Four Swords Adventures
The Legend of Zelda: The Minish Cap
The Legend of Zelda: Twilight Princess
The Legend of Zelda: Phantom Hourglass
The Legend of Zelda: Spirit Tracks
I have played the italicized ones, and have fully beaten (story-wise) the bolded ones.
I have played most, and find it hard to pinpoint one.
Link to the Past was my first, and I have played it many times. I've beaten Wind Waker 17 different times. I've practically beaten every last one at least once with 3-hearts only. Majora's Mask was probably the most challenging of them all for me.
Link to the Past, Ocarina, Majora, Wind Waker and Minish Cap are without doubt my most favorite of them all.
I can easily say Four Swords Adventures would be at the bottom of my list of favorites, though.