Shit. Just a dick move to ask me to name a favorite. I figure it's Twilight Princess, but honorable mentions must be stated:
The Minish Cap: So many people say that Majora's Mask and Wind Waker are underrated, but NOBODY talks about this game EVER. This game is excellent in pretty much every conceivable way, and the fact it's one of the few not actually developed by Nintendo (Capcom handled this one) speaks volumes for it. It's beautiful, especially for a GBA game and the music is a great mix of classics from the series. The bosses are mostly a blast and Vaati was on a level with Aghanim and Ganon in terms of awesomeness as a Zelda villain.
A Link to the Past: This one gets enough praise, so I won't go insanely in depth, but until Twilight Princess hit, this one was easily my favorite.
Wind Waker: Vastly underrated. The boring-ass fetch-quest for the Triforce and the missing dungeons (At least a handful of dungeons were cut from the final product, hence the fetch-quest) aside, it was a great game. Ganondorf had never been more of a badass and the ending was just fantastic (Farewell Hyrule King being my favorite Zelda tune to date).
Top game - Twilight Princess: There is just no describing how incredible this game was to me. They hit every single aspect perfectly. The gameplay was perfectly balanced between human and wolf mode, the music was stirring, the environments were beathtaking. It had excellent exploring and some god damn EPIC boss battles (Stalfos being a standout, Link Pro-Skater FTW). Midna gave the advantage of exposition to the silent protagonist of Link without being an annoying twat like the fairy from OoT (While I love that game, it's second only to FF VII in terms of being overrated). This all aside from how utterly perfect the Wii control scheme was. I've heard plenty of people bitch about it, but it's always a matter of user error. If you pay attention and do it right, the controls are spot-on perfect. The controls enamor you in the experience and draw you even further into it. I lost myself for hours at a time (And I am not someone who spends much time gaming anymore) going through and performing the various unlockable combos (Helm splitter and the surprise attack being top favorites). It never got boring or tedious and the items are among the best the series have ever seen (Double clawshots, woooo!). One of the best gaming experiences I've ever had.
I've played all of the Zelda-proper titles outside of Four Swords Adventures (I even have the two Oracles games) and can't really pick a "least favorite" as each stands out in its own manner. If I had to pick, I'd go with Link's Adventure, as it just kind of lacks that real Zelda feel.