The first Zelda game I've played was the original Zelda for NES. In a NES emulator for my old PlayStation One. Afterwards, it was Ocarina of Time, Majora's Mask, Zelda II, A Link to the Past, Minish Cap, Link's Awakening and Twilight Princess. Majora's Mask is my favorite by far, but there is not a single game in the series which I didn't like. Not even Zelda II.
By the way, I've finished Twilight Princes two days ago. One of the best Zelda games. Can't wait for Skyward Sword...
P.S.: Best song in the whole series so far:
[youtube]http://www.youtube.com/watch?v=oJOmjwzBQ_c[/youtube]