When it comes to the Legend of Zelda series, most fans say their favorite is one of three: A Link to the Past, Ocarina of Time, or Wind Waker. I do like all three; heck, I've never played a Zelda game that I didn't like (disclaimer - I've never played the CDi abominations).
But my favorite is still Majora's Mask. It's arguably the dark horse of the series (aside from aforesaid CDi disgraces and Zelda II); it didn't include Ganon, or the Triforce, or even Zelda, outside of a small flashback. There's no Master Sword, no Hyrule... outside of keeping Link as the playable character, it almost doesn't seem like a Zelda game at all. But it still keeps the proper feel of a Zelda game, and it has its own flavor and flow that distinguishes it from the rest.
One of the elements of Majora's Mask that makes it strange from the perspective of the rest of the series is its dungeon count: it only has four. Considering it comes on the heels of Ocarina of Time, which had eight (not including mini-dungeons like the Ice Cavern or Ganon's Tower), this would seem like a travesty. And yet it works for a very unique reason - the overworld works as a series of dungeons as well. In order to enter the Woodfall Temple, the player has to explore a number of interesting locations, solve puzzles, and obtain items in the same fashion as the dungeons of a normal Zelda.
The areas of the overworld often have as much or more personality than other Zelda dungeons. Ikana
Canyon, the area that leads to the fourth dungeon, is my favorite section of any Zelda game. Ocarina of Time's overworld segments had charm, but they can't compete with those from Majora's Mask. I'd attribute this to the emphasis on character that MM had over any other game.
Majora's Mask is also easily the darkest of any Zelda title. While Zelda games have always had dark elements to them - in Ocarina, Ganondorf conquers the entire world and turns it into a desolate wasteland - none have had quite the desperation that MM does. It manages to combine hard-hitting writing, soulful music, and bleak visuals into a world that not only tells you that it's on the brink of collapse, it shoves it in your face. One sidequest, in which star-crossed lovers Anju and Kafei are cursed and must be brought back together, has a mournful quality few other games have managed to accomplish. Another, in which a girl is abducted by ghost-like aliens and has her mind broken, shows the player exactly what will happen if they fail.
I'm not sure that I would call Majora's Mask the best in the series. It certainly has its problems - the dungeons aren't quite as strong as those from other titles, some of the sidequests are incredibly obtuse unless you use a guide - but it still sticks with me stronger than any of the others.