I have completed all except AoL, Ages, Spirit Tracks and Skyward Sword; Link to the Past was the first one I completed and I still love it. The gb/gbc games are excellent considering the hardware limitations. Ocarina, well I still play that frequently, and I've started the Master Quest on my gamecube, not much time though. The last one that I found a challenge was Minish Cap, which actually has osme very cool features. Windwaker, Twilight Princess and Phantom Hourglass were all way, way too easy, Twilight Princess in particular felt like I was playing on practice mode or something. I just got Skyward Sword, and I have high hopes, we'll see.
My favourite though; Majora's Mask, difficulty was pitched high, but not frustratingly so, so much cool stuff to do, many cool items to use, and the 3- day loop was such a cool concept it still amazes me the design team came up with it and implemented it.
EDIT: just voted and Windwaker is winning! That game was so easy, the bosses were a joke; when I beat Ganon I thought something else was going to happen, dissapointing.