I won't break it down too far, but the first game was critically acclaimed and is still regarded as one of the best games for the NES. Zelda II is sometimes panned as being the worst of the series, but it's still at least on par, if not better than most of the games that came out during that generation.
Then Link to the Past came out, and if people didn't already love Zelda, they did now. Perfected the foundation laid out in the first game, improved on controls, added a wide array of weapons that would become staples for the rest of the series. This is widely regarded as one of, if not the best game in the series, and consistently ranks as one of the top games of the '90s.
And then, Ocarina of Time. A huge game at the time, Ocarina presented the game we loved with an epic story and a huge world to explore. The first 3D entry, and one of the first games ever to introduce any kind of targetting system, making attacking and moving through a 3D world much easier and more effective. Many people regard this as one of the best games of all time, although it hasn't held up as well to due to its polygon graphics, which is a problem many of the first polygon console games has faced.
Majora's Mask was released shortly after Ocarina and received huge critical acclaim. While it received a bit of flak from die-hard Zelda fanatics for featuring a different focus of gameplay, which was less about exploration and story and more about Link's interaction with a many of the NPC characters and focused more on time-travel and less about the standard Hero Quest, it has an incredibly devout following and is referred to by many as the better of the N64 titles, as well as consistently being referred to as one of the best games on the system, sometimes ahead of its predecessor.
Wind Waker followed with a different approach to its graphic presentation, featuring more cartoony graphics that moved away from the "realism" present in Ocarina of Time, but refocused the story on the standard Hero's Quest. It offered a more indepth look at some of the lore of the series while expanding the world to several tiny islands. It also reintroduced the "enemy overload" featured in LOZ and LTTP -- sometimes walking into a room meant battling a dozen enemies at a time rather than just two or three, which focused combat on less of a button-mashing affair and introduced parrying and small sword combos, which would start to be featured more in later titles.
Twilight Princess shifted the story back to its roots of Hero's Quest, Link vs. Ganondorf, and featured a heavy focus on sword combos and attacks. Its also the grittiest visual style out of any of the Zelda games, focusing more on realism than cartoon. While playing as a shapeshifted Wolf was a heavy departure from the story laid out in the rest of the series, Twilight Princess expanded on well-known locations and races, and highlighted what many players were clamouring for -- more swordplay, and a heavier emphasis on the Good v. Evil battle between Link and Ganondorf.
I haven't played Skyward Swords yet, so I won't comment at all on that game. And I omitted the Gameboy titles, because they don't follow a cohesive storyline (I haven't played most of the GBA titles). Still, that paints a pretty good picture of just how fantastic and well loved this series is. To illustrate the point, no console based Zelda game released since LTTP has ever scored lower than a 90 (LOZ and Z2 scored in the mid-80s according to Wiki, but those are all later reviews so it's hard to say how indicitive they are of reviews at the time). On Metacritic, the lowest scoring console based game was Skyward Sword, scoring 93/100. Of the handheld games, they all score at least an 85/100. It's odd for a series to be consistently good across all of their titles, but Zelda is one of the rare ones where every entry is a solid, well loved release with very few misses, and it's even rarer when spanning two decades.
I'm done now.
