This is probably more my favorite, but I'll say Majora's Mask because it gave me something unique that I loved and hadn't experienced in any game before.
Progression of time in real time that NPC's in the world adjusted to. Along with the focus on NPC quests, it made that world feel more alive to me in ways I've rarely seen before or after.
I also loved the the time traveling mechanic, which added a new dimension to the Zelda series general progression layout of using tools to reach places you couldn't go before.
Oddly enough there was a game released on PS2 just 4 months later that had the exact same real-time NPC quest system with time travel. But instead of 3 days it was 5.
I really liked that aspect of that game as well. But now I wonder if there was some game released prior to Majora's Mask that inspired both of these games?