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Order of release. The games play off each other the best that way. Also, the only Game Boy Zelda you need is Link's Awakening. It was made by Nintendo. The two Oracle games and the Minish Cap were made by Capcom. So while they're still pretty awesome, I'd say they're optional. They're like Capcom's tributes to the Zelda franchise, like really good quasi-official fan-made games.

So I'd say play them in this order: LOZAOLLTTPLAOOTMM4SAWWTPLCTPHST.