This one is easy, haha. My favourite game ever is The Legend of Zelda: Ocarina of Time, and Zelda is the best series as well. At the time Ocarina & A Link to the Past opened up a magical world for me, rife with adventure, mysteries and discoveries, and is of vital importance to most anything I later searched for in various forms of entertainment. And a great asset to my imagination and creativity as well. I also enjoyed Wind Waker a lot, and Twilight Princess was simply awesome, like a OoT remix in some ways. Majora's Mask was entertaining, but it was the Gamecube version I tried out, and it proved to be too buggy to ever finish, sadly.
As such, it's not a favourite of mine. I haven't tried Skyward Sword yet, but most people at least seem to dig it, so it's in my queue.
As for all the handheld versions, none really swept my off my feet. Some of them were enjoyable, but nothing compared to what could be experienced on console.