Out of the one's I've played, I think Ocarina of Time is the best, followed by Majora's Mask and Link to the Past. I also happen to be fortunate enough to own that GameCube disc with Ocarina of Time, The Legend of Zelda, Majora's Mask, and the Adventure of Link on it.

I have played:
The Legend of Zelda
The Legend of Zelda: The Adventure of Link
The Legend of Zelda: Link's Awakening DX
The Legend of Zelda: Oracle of Ages
The Legend of Zelda: Oracle of Seasons
The Legend of Zelda: Ocarina of Time
The Legend of Zelda: Majora's Mask
The Legend of Zelda: The Minish Cap
The Legend of Zelda: A Link to the Past (GBA version)
The Legend of Zelda: The Wind Waker

Which ones have I missed (other than those piece of rubbish CD-i games)?