I started with Link to the Past, and I always get Zelda for any Nintendo platform I happen to have. Since my family was always partial to Playstation, I missed a few of them. Now that I'm an adult with my own money, I'm working on going back through and playing them all, haha.
I don't really have a favorite, because each of the ones I have played has been great.
Skyward Sword has one of the more touching storylines, and I love the characters in it, but the gameplay elements are kind of hit and miss due to the over-use of the wii's motion nonsense. I found it added depth to the gameplay in some areas. Alternating between motions to trick your enemies was kind of cool. I was impressed by how they did that, instead of just "flail wildly to win* like a lot of the wii games did. But in other areas it just became an annoyance. As a result, I really enjoyed the story and exploration elements of the game, but I'm hesitant to play it again because some of those segments were so annoying. If I have to do that underwater musical notes section again, I might throw my controller into my TV.
I also got Hyrule Warriors, and I must say that this is my favorite iteration of Zelda. I wish I had more levels to play because doing the adventure modes and such got a bit repetitive.