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If you are going for the top down games, start with A Link to the Past. It is an amazing game and it should be played before A Link Between Worlds.

If you are going for the 3D games, you can really start anywhere. They are all great jumping in points and they are all great games.

I say go back and play the older handheld titles after you play a few other Zelda games


EDIT: I will add that the Wii and Wii U are the only places you can play every console zelda, but Wii U has Wind Waker HD (as opposed to the original GC game) and will be able to play the upcoming Zelda games....
I'm not 100% sure about Europe but you should be able to play all the games either on the Wii U VC or the Wii VC (which the Wii U can use)