Most game story lines (even the ones that try very hard) tend to fall into clichés and other traps. Take Bioshock for example, a great game with a great storyline that becomes hampered by the old "use all your weapons to beat the final boss and watch a 30 second ending" routine. But I digress...
Zelda games tend to have fairly simplistic story lines (Battle between good and evil. Evil guy stealing princess etc) ... not that there's anything wrong with that, but great contemporary, critical literature it ain't.
That said, I think both Majora's Mask, Wind Waker, and to a lesser extent even Twilight Princess have done a lot with the basic Zelda game Template, in order to create story lines that go beyond the basic good-vs-evil premise.
Wind Waker uses the Deluge myth found in many mythologies and religions to give an added depth and gravity to the story. (Spoiler) The fact that you are traversing an ocean that covers the original Hyrule is pretty special. Not to mention the fact that the king seems to choose to drown in his flooding kingdom, acknowledging that a "New Hyrule" still wouldn't be Hyrule ... pretty moving stuff. The fact that Wind Waker also builds on Ocarina of Time's storyline rather than simply rebooting everything is also quite noteable.
Majora's Mask is another beast entirely. This game has nothing to do with Good-vs-Evil, and everything to do with much more complex themes of isolation, loneliness, dreams, and the human experience. Pretty deep stuff for a Zelda game.
I guess what I'm saying is, it depends on what you mean by "bad or cliched stories". From a purely storywriting standpoint, Zelda games are pretty decent. They tell basic stories in simple but interesting ways, and occassionally build on that simpleness to subtly investigate more complex themes. But in terms of contemporary art/literature, Zelda games are nothing amazing ... though I really don't think that's the intent of the games.
