The first Legend of Zelda offers the classic Zelda 2D game, where you have the overhead view of Link. This is a fairly difficult game, and is great for the more seasoned Zelda fans, though anyone could play/beat it with time.
The Adventure of Link is also a 2D Zelda game, but has a much different feel to it. When you walk into a town, dungeon, or battle it becomes a 2D scroller. It still had the 2D overhead view, but only while you were roaming the world. I didn't really like this game that much. I'd avoid this one at all costs. I think of it as the outcast of Zelda games.
Do I even have to talk about Ocarina of Time? Well I am. Maybe the single greatest 3D Zelda there ever was. Tough dungeons, fun sidequests. A nice change of pace, and what the new Zelda games are being defined by. If you call yourself a Zelda fan and have not played this game, you sir are a great big LIAR!
Majora's Mask has to be one of my most favourite games to play. Whether I'm just rolling around as a Goron, swimming through the ocean as a Zoro, flying through the air as a Deku(Okay it's not that fun...), riding around on Epona, or completing one of the dungeons within the 3 day time limit. The 3 day limit adds that degree of difficulty, unless you cheat like me and play the Inverted Song of Time. =) There are also so many more sidequests in Majora's Mask that make the game interesting.
All in all I would rate this a 10/10, even with the drawbacks from Legend of Zelda 2: The Adventure of Link. Must buy for any gamer.