My Favorite is Majora's mask for a few reasons.
Reason number 1: Out of all of the Zelda games I've played I find Majora's Mask to be the darkest taking on one of the more depressing story lines where couple of characters give their life to Link in the hopes he can cure the blight that the skull kid had put on their respective lands. And even though in the end where Link saves the day if you got every mask you see in the end that you can't save everybody as the Deku butler mourns over his dead son not knowing of his fate till the very end. Not to mention Anju and Kafei, the entirety of Ikana canyon are all pretty dark. Termina was a very interesting world that had some very strange and twisted characters and themes along the way which I really enjoyed. It's also sparked quite a few interesting theories from Zelda theorists which I always enjoy reading.
Reason 2: I found Majora's mask quite a bit more challenging then most of the 3D Zelda's even though it was the shortest one I feel the dungeons were done quite well where each one provided the right amount of challenge without being to hard like OoTs water temple or to easy like anything from TP and some of the windwaker temples.
Um... okay so there are 2 but I'm quite tired so I'll leave it at that. Majora's mask was one of my first Zelda games as a kid so I look back at it with sweet nostalgia making it my best game ever. So Yeah the real reason it's my favorite is Nostalgia and I don't think any new game can compare to that feeling you get when you feel like you're 8 years old again with an n64 controller in your hand beating it for the first time. those were good times...
Edited by GaroIymar, 03 October 2011 - 10:32 PM.