Haven't played Zelda in a good while, last one has been BOTW and a few years before the OOT remake but I'll give it a shot and update it when I eventually do a marathon of the entire franchise - minus the CD-I games for...Obvious reasons. I'll mostly list the 3D games as those are fresher in my memory.
Favorite: Majora's Mask
Second Favorite: Got none, most others take the same spot I'd say
Underrated: Skyward Sword
Least Favorite: Breath of the Wild
Explanation:
Favorite - Majora's Mask. The oppressive atmosphere, the focus on the time mechanic and a really fun gimmick in the masks made for a very enjoyable and memorable experience. The dungeons were excellent, with lots of cool stuff to find and the fairies made for a nice thing to collect for me. The sidequests had storylines that outshined some games' actual storylines and were really well done, too. Just a really good game that was different from what people expected!
Second Favorite: None. I like many different Zelda games for different reasons, so this one is a bit hard for me as it's been a while. I loved Twilight Princess' combat with the addition of the occult techniques, Wind Waker had this cool overworld to explore and the feel of adventure was great, Ocarina of Time is not only nostalgic but I genuinely feel it is just very solid in every aspect that made 3D zeldas good.
Underrated: Skyward Sword. Because your Wii mote didn't work the game's bad? That's a bit silly. Yes, the complaint was filed by many, and it definetly exists, but that's more to do with the peripheral, less with the game itself. While it was really linear, it had a very solid supporting character in Groose, Zelda actually being built up as a person instead of the person of prophecy so you have to save her etc. and seeing her freeze herself with Link being visually upset was wholesome as hell.
Combat was fun as hell and the game had some great and some mediocre bosses and dungeons. A very mixed bag for sure, but I loved it to death when it released.
Least Favorite: Breath of the Wild. Oh look, an open world game and its world is open. I didn't buy it, only borrowed it from a buddy, and I played for a dozen or so hours before realizing that it may be called Zelda, but is an open world game. I can't stand this genre, since they all feature pretty shallow gameplay, the Shrines were really repetitive and the puzzles way too simple and the parts I loved most about Zelda - side quests and dungeons - were pretty much gone or too different for me to enjoy. It's obviously a good game and people love it, which is great, but it's absolutely not for me. I could go on for a while on why I dislike open world games that are vaguely similar, like Skyrim, but that'd be VERY annecdotal so let's keep it at me not liking what makes the genre.
Combat's never complex in Zelda, nor are the puzzles I realize that, but BOTW was too simple for me to enjoy. The whole "The dungeon is a puzzle in itself" thing Mark Brown talked about in his Boss Keys videoseries said what I was thinking while playing pretty well, can only recommend the videos on an unrelated note.