Epona has been featured in several Zelda games, first appearing in The Legend of Zelda: Ocarina of Time. Her presence is most significant in The Legend of Zelda: Ocarina of Time, The Legend of Zelda: Majora's Mask, and The Legend of Zelda: Twilight Princess.
The Legend of Zelda: Ocarina of Time
Ocarina of Time is the game that first introduced Epona, one of the major features of the newly 3D game world. Link first encounters Epona at Lon Lon Ranch as a child. Epona is a wild young horse that only listens to Malon, until she teaches Link how to play Epona's Song on his ocarina. Once Link successfully learns the song, Epona will no longer run away from him whenever he gets near. However, Link does not learn to ride Epona until he returns to Lon Lon Ranch as an adult. Ganondorf has given control of Lon Lon Ranch to the deceitful farmhand Ingo, who forces Malon to work for him. If Link plays Epona's Song, the now fully-grown horse will remember him and allow Link to ride her. Ingo is surprised that Link can tame the horse, and challenges him to a bet in the form of a horse race which also serves as a tutorial for horse riding. If Link wins, Ingo furiously demands a rematch, promising to let him have Epona for good if he wins a second time. If Link successfully beats Ingo again, he will shut the gates to Lon Lon Ranch to prevent Link from leaving with the horse. However, Link simply jumps Epona over the gate and leaves with his new prize. Epona can then be summoned in the over-world by playing Epona's Song, although she cannot be taken into dungeons or some other areas such as Death Mountain.
The Legend of Zelda: Majora's Mask
Link actually begins The Legend of Zelda: Majora's Mask with Epona (although they are both young), as seen in the opening cutscene. However, when Link is attacked by the Skull Kid, who is under the influence of Majora's Mask, Epona is stolen along with the Ocarina of Time. However, the Skull Kid cannot control Epona, who escapes and runs off. Later on, Link rediscovers Epona at Romani Ranch. Epona has been tended to by Romani, who bears a striking resemblance to Malon from Ocarina of Time. Romani also teaches Link Epona's Song, and from that point on Link can use Epona for the rest of the game.
The Legend of Zelda: Twilight Princess
Technically, the player can choose the name of Link's horse in The Legend of Zelda: Twilight Princess, but the default name is Epona, just like the player's default name is Link. As in The Legend of Zelda: Majora's Mask, Link actually begins the game with Epona, and he uses her frequently in his work as a rancher in Ordon Village. Link's friend Ilia is at least partially responsible for caring for Epona, however. When monsters attack Ordon Village and Colin is kidnapped, Epona is also stolen from Link. He finds her later at Kakariko Village, where she is being attacked by monsters. Once Link defeats them, he can ride her once again as normal.
Epona has several notable gameplay differences in The Legend of Zelda: Twilight Princess. It's the first game in the Zelda series to have combat on horseback, and even some boss battles occur while riding Epona. Additionally, because Link does not have a musical instrument, he has to summon Epona using a special type of grass. After rescuing Ilia and helping her regain her memory, Ilia's Charm can also be used for this purpose. However, both of these makeshift instruments also play Epona's Song when used.