Wow man, just wow. Here are my favorites and why, and I tried to do some general order:
1.Majoras Mask- Very in-depth and full of content Zelda, by far has the most feeling and life to it, some will argue, but I don't care. I love it the most.
2.Ocarina of Time- Its better to play this before Majora's Mask because of some SMALL backstory (it can be overlooked, but its too good to pass up) Great game, and its decently long.
3.Link to the Past- Such a GOOOOD oldie, it has to be one of the best Zelda games ever made, its full of lfe.
4.Minish Cap- This was a really good Zelda title, it followed the Four Swords route and took the more abstract Zelda path, but still was really good and played well. It had some really cool ideas.
5.Windwaker- This one is worth mentioning and a MUST for playing before Phantom Hourglass, it is part 1 afterall. This is another abstract Zelda title, it isn't the most exciting, but it has some GREAT moments.