My favorite Zelda game hands down is Skyward Sword followed by Zelda 1 and Link Between Worlds. Skyward Sword was truly magical for me. I loved the characters, I loved the art style, the music was amazing, and it has one of the best stories of any Zelda game in my opinion. I also loved the motion controls and it's the only Nintendo game to have made me cry because of the story towards the end with Fi. As for LBW and Zelda 1, they're just really fun to explore around to collect secrets and play through just to experience the dungeons respectively.
As for my least favorite, I have a seething hatred for Wind Waker. Aside from the amazing art style and musical direction, everything else about that game left an extremely bitter taste in my mouth. I had finished the HD version, and I was left wishing I could return the game or trade it in or anything since I had mine downloaded. The Triforce quest is terrible, the amount of empty shit while sailing is just way too much even with the fast sail, the dungeon design wasn't very inspired to me, and I was much more interested in Link's relationship with his grandmother and his sister than I actually was with anything else in this game.
The only other Zelda game I've come to hate nearly as much as that one was Twilight Princess. I found the art style extremely ugly and out of place for a Zelda game, I wasn't fond of the motion control in that game, it was trying too hard to be Majora's Mask again without understanding what actually made that game creepy in the first place, and so forth. I didn't even get past the fire dungeon in that one. The hour and a half long tutorial at the beginning soured the rest of the game for me and bored me to leave.
Bear in mind that I didn't grow up with Zelda and before 3 years ago, I only knew about Link from Smash Bros. In other words, I don't really have any nostalgia goggles for the series and I'm always in the unpopular camp of opinions for these games for some reason. I also didn't really care for Ocarina of Time or Link to the Past and I've really been enjoying Zelda 2 since Danny played it having gone into it with an open mind.