Well, that's a tough one.
Like everyone else has already pointed out, the story is quite good (presentation anyway. It's not what you would call original), the puzzles, just the general feel of how it plays...
There's almost always impressive areas, it's fun to explore, and the bosses, while often predictable in how to deal with them are generally quite impressive.
Of course, nothing's ever perfect.
A common problem is puzzles that are endlessly frustrating because you miss one tiny and obvious thing.
(My worst was getting stuck in Ocarina of time because I didn't have the fire arrows. Ironically, it was obvious where to get them from, and when I was told how to do it I kicked myself for having forgotten about the hints that would lead to it.)
I find Zelda 1 and 2 nearly unplayable (zelda 2 in particular).
Zelda: A link to the past is one of those rare ones with no obvious flaws.
Ocarina of time: It's a classic for a reason. Even so, having revisited it a few times, the water temple never stops being annoying, and there are other moments too where you wonder what exactly they were thinking...
Majora's mask: The most unusual game in the entire series, and it's core mechanic is a lot of fun. But you can't help but feel it was rushed, and wasn't given as much polishing as Ocarina of Time was.
Wind Waker: Generally brilliant until towards the end you see blatantly obvious measures used to stall your progress and drag the game out longer. Coupled with the lack of dungeons this sets a trend for rushing production on Zelda games. (Considering Ocarina of time took 4 years, maybe not a huge surprise).
Also quite easy compared to it's predecessors.
Twilight Princess: More difficult than wind waker, but still on the easy side comparatively. This one is generally well presented and thought out initially, but again shows signs of gameplay elements whose only real function seems to be to stall for time. (hunting down light as a wolf?).
Worse, somewhere towards the 6th or 7th dungeon, everything kind of just loses it's momentum.
Up until that point, the dungeons were mostly quite clever and interesting, and suddenly the remainder looks simple and quite obvious.
Yet again something that looks like a symptom of a rush job.
Ehm. In any event, at it's best it's a well thought out blend of action and puzzles and exploration.
At it's worst it tends towards tedious, predictable dungeons and forced 'quests' that do little more than make you spend ages collecting stuff in a small area.
It's a great series, but ultimately it's greatness in many regards lies in the details, rather than the big picture.