I used a walkthrough to speed up the Tri-Force quest in The Windwaker. I didn't find a need to use one at any other time.
That's the only Zelda game I've beaten, so far. I am playing through A Link to the Past without a Walkthrough, though. Zelda games aren't exactly easy, and there are some real brain twisters in there. I remember being unable to progress past the forest temple in the Ocarina of Time when I was younger -- though I do plan to play through totally on my own on my full playthrough.
A lot of retro games usually have at least one point where I can't figure out where to go next. At times like those, it helps to drop the game and just do something else for a while. Coming back, you may have a fresh perspective on things, and you'll often find that whatever was holding you up wasn't as complex as you were making it out to be.
