Ocarina, but I didn't know English back then. Surprisingly my cousin and I SOMEHOW beat it after like 2-3 years. Playing again on 3DS makes me wonder HOW?! since I'm struggling to beat it now that I know English XD
After than it was Wind Waker on Uncle's GC. Didn't really play much, just watched him play.
Twilight Princess was my first Zelda game that I bought, but I didn't beat. Will try on Wii U.
Skyward Sword I got, but I hate it because of the controls and the backtracking/flying, didn't beat it.
Link Between World is the first Zelda that I have beaten and I really liked it.
Definitely getting Breath of the Wild with the Switch.