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Everybody seems to be a little bit confused about what "Open World" means. A game can be "Open World" (meaning that you can freely go to any part of the map any time you want) in many senses: for example, it can be open world from the begining (like the first Zelda, GTA V, Just Cause or Skyrim) or it can turn to be Open World after you've completed certain missions, quests or progresses (like Wind Waker, which was linear during the 4 first dungeons and would not allow you to freely explore the ocean until you have reached certain point of the story, or the 3D GTA series before GTA V, which would let you move freely around big areas of the map but would keep other areas closed until you had advanced in the main story (Like Las Venturas o San Fierro in GTA San Andreas).

However, we can argue that a "pure" Open World game is the one belonging to the first category (go anywhere since the begining without fisical limits or barriers preventing you from visiting any part of the map). On the other side, a game it is not Open World if it has a linear progression, not allowing you to go to previous areas after completing them.

So; along the series, Zelda has explored the "Open World concept" in all its forms (from the "go wherever you want from the beginning" of Zelda 1 to the more "story driven" open worlds of TAoL, ALttP, OoT, MM, WW, TP or SS, which unfold while you progress in the Main Story. In that sense, it has gone back and forth several times, so every possibility is open =)

P.S.: I don't think that loading times or black screens between areas have nothing to do with the "Open World" concept, since the key issue here is "go wherever you want whenever you want".