Majora's Mask is the direct sequel to OoT, featuring the same Link. The Wind Waker is the indirect sequel to OoT, featuring a different Link but the same Ganondorf from OoT. Twilight Princess takes place in the same Hyrule about 100 or so years after OoT, so there's some references to people and places from OoT in Twilight Princess.

As for the other games, Adventure of Link is the direct sequel to the original Legend of Zelda. Link's Awakening is the direct sequel to A Link to the Past. Oracle of Seasons and Oracle of Ages take place one right before the other; canonically Ages is the sequel to Seasons, but the way the games are set up, you're able to play Seasons as the sequel to Ages if you want. Four Swords Adventures is the sequel to Four Swords. The Minish Cap explains the origin of one or two things from the Four Sword games, but it's not closely related to either of those games. Phantom Hourglass is the direct sequel to The Wind Waker. Spirit Tracks is the "direct" sequel to Phantom Hourglass (though it takes place about a century later). Skyward Sword was originally intended to be an origin story for the whole series, but the finished product leaves room for other stories to take place before and around it. A Link Between Worlds was originally intended to be an indirect sequel to A Link to the Past, but all direct references to ALttP were removed from the final product; regardless, it does take place in the same Hyrule some time apart from ALttP. And Tri Force Heroes has no real connection to any other game in the series (except for its DLC referencing Majora's Mask and Phantom Hourglass), but Nintendo has said that they view it as a sequel to A Link Between Worlds.