with the wii you can download:

The Legend of Zelda
Adventures of Link
Zelda: A Link to the Past
Zelda: Ocarina of Time
Zelda: Majora's Mask

You can also play gamecube games, so you can also buy Zelda: WindWaker for gamecube. You can also get 4 of the above games on a collector's disk for gamecube, but the disc freezes a lot so it's better to just download them on the wii really.

With the GBA you can also buy Zelda: the Minish Cap.

and of course you could buy Twilight Princess which is an actual wii game.

It would probably be easier to list which games you couldn't get which is pretty much just Phantom Hourglass, which is on the DS.