Oh gosh, Zelda.
I love Zelda - Zelda does not love me. By which I mean I kind of suck at actually playing them. XD But I do love the series, and I have played several of them. Just not very well, and I don't think I've ever finished a Zelda game on my own - though I have done so while playing together with friends.
My absolute favourite of the series is Majora's Mask. While my first Zelda was Ocarina of Time - which I got with my second-hand N64 back in the day - and I do love it a whole lot, MM is my favourite these days. It's got a good central mechanic (time-travel/masks), and it's got an amazing atmosphere. Like, seriously amazing.
The severe time-limit adds an element of stress - even if you can reset the three-day-cycle whenever you want - to a game whose atmosphere is already creepingly oppressive and dark. It's got a bleakness to it that is kind of unexpected for a game with an otherwise child-like graphic style; I mean, sure, you ultimately save the world, but that's just in this timeline. What happens to the residents of Termina in all the other timelines where you failed? And you don't save them on your first pass through the three-day-cycle - and probably not on your second or third either. Time and time again, you watch them die and their world end as you repeat your failures and snatch small victories from the jaws of defeat. It is literally impossible to do a 100% run in one go, so matter what choice you make, someone suffers for it.
And even if you leave aside the constantly resetting timeline and the parallell possibilities that gives rise to, you still have the small matter of the characters whose deaths are canonical and irreversible. There's the apparent genocide in the Ikana/Garo conflict. You converse with skeletons and ghosts. Majora's Mask is dark; Twilight Princess might be trying its best, but it still doesn't quite achieve the same level of bleakness that MM does.
/fan-babble
I've played Ocarina of Time, Majora's Mask, bits of Wind Waker (borrowed it off a friend and had to give it back; A+ for atmosphere and adorable graphics), Phantom Hourglass, Twilight Princess, Skyward Sword and Spirit Tracks (do not play Spirit Tracks; it is a sucky game. The thin veneer of Zelda does not save it). Out of those, I think I might have finished.... three?