The Zelda franchise/series is huge. It's got a lot going on, but I'm only talking about the ones I've played. If you've played the original Zelda game this picture'll bring back some memories.
2002 - Four Swords; Now, I have the anniversary edition instead of the original GBA, but the only thing different is I just have a little less story progression going on. Even though this game comes 15 years after the very first one, I think it stays pretty true to the original. There's not a lot of story going on, you're still this guy going through dungeons, exploring places, getting cool things, except now you can play with other people too. Hence the four Links.
2004 - Minish Cap. I haven't played any of the games between this one and the original (Ocarina of Time, Majora's Mask, Oracle of Seasons, and The Wind Waker) other than Four Swords, so there might have been a game before this in which more of a plot was introduced. But since I didn't play them, this is where it starts for me.
After you name Link, you're immediately given some story to start the game off. Basically a guy in green comes with a sword to drive out the monsters that are trying to take over. (Hey, you're wearing green. And there's lots of monsters around. Too bad you don't have a really cool sword like the hero, right?) Immediately after that story Zelda comes and gets you so you can go to a festival together, but don't forget the Smith's Sword! You take that to the Minister of Hyrule where trouble happens. So there's an award ceremony at this festival to honor the Hero in Green of Old, where they bring out his sword that's in a chest, keeping the evil out of Hyrule. Basically whoever wins a competition at the festival get's to touch the sword. (Really amazing I know). Turns out the winner has some amazing powers, even though he's a little purple kid, breaks the blade and opens the chest, letting all the evil out into Hyrule.
The sword needs to be reforged to lock away the evil again, but the Picori are the only ones who can fix it, and they only show themselves to children. Wait, you're a kid. Now you head off to find the Picori and save all of Hyrule - oh and also free Princess Zelda from being a stone statue.
Now I didn't play all of these games in the order they came out, but looking at the ones I've played in chronological order - even though this is the first game that had more of a structured plot, it's still pretty good. Lots of places to go, things to do and tons of exploring. It's got some structure to it, but not a lot. Also it as Ezlo, the first Navi type character. He sits on your head, as he's been turned into a hat, and occasionally says something or you can ask him for some advice. And personally, he's a lot less annoying than Navi. By a long shot.
2006 - Twilight Princess. This game is one of the few Zelda games I haven't fully beaten yet. This one also continues on with the more story/plot focused gameplay. There's a lot for you to do, and a lot of places to go, you're just kinda stuck being guided around a bit though. This one feels like it has more structure than Minish Cap does, which is fine. Zelda is starting to take a bit of a different path here - that's cool, but for me it starts to feel like it guides you everywhere saying, "Hey, go over here and do this thing. Now that that's done, could you go over here and do this other thing?" It kinda goes off of the whole "save all of Hyrule and the Princess too" thing that I feel Minish Cap started, but it also shows how the people behind Zelda learned to use the whole 3D technology to their advantage since Ocarina of Time.
Yikes, look at all those polygons.
2007 - Phantom Hourglass. Link's on a boat with Tetra (which also happens in Wind Waker). Tetra gets on the ghost ship and calls for help, before Link can get there, he falls into the ocean. When he wakes up he finds himself with a fairy named Ciela. Eventually you meet up with Linebeck and use his ship to travel around to collect things to save Tetra and the whole of Hyrule. Again. I don't actually own this game anymore, as I ended up finishing it and trading it with a few others for a different one. I don't really regret that decision. This isn't to say that Phantom Hourglass is a horrible game - no - it's really good, it's just not as good for me as the others I still own. It doesn't have as much value to me because I don't feel like I would ever play it over again.
I feel like this is another step in the direction of having a more guided Zelda gameplay. You've got the beginning and the end of the game. Sure you can't just have a straight line in which the player beats the game with little to no resistance and any plot involved, but requiring them to go to a billion places over and over again to complete things to get to the end? It's starting to kind of take the fun out of it. You've got all this world to explore, but you don't really explore it because you're too busy focusing on the task you've got to complete. You're there to either get some info from somebody, get a thing from a dungeon and beat a boss or collect some important item that gets you towards the end goal.
2009 - Spirit Tracks. This game introduces a pretty cool element to the game; trains. Instead of having a horse or simply somersaulting yourself around all of Hyrule to get places, you've got a train! Plus you can customize it to look like a dragon (among other things). Basically, link's heading to the castle for his ceremony to become a conductor. Zelda gives the ceremony and then slips him a note saying not to trust Chancellor Cole. Later on you find out that - goodness gracious - he's a two horned demon who's bringing back the Demon King. Zelda's soul gets separated from her body, which of course the bad guys take because they need it, and you're left to run around with the Princess' soul on your train, bound for any destination that'll give you stuff to help you defeat the Demon King.
I'm pretty sure this is about the same place as Phantom Hourglass on the scale of taking out the fun of exploring, but my memory's really fuzzy and all I can remember it having fun moving my train around.
2011 - Ocarina of Time 3D. Okay, so I actually have played the original Ocarina of Time, as the 3Ds version is the same as the 64. As far as I know, for years it's been put on a pedestal of being the best Zelda game of all time. It is a really good game, and it was absolutely fantastic for it's time, but we really do need to move on and look at it more critically. To be honest, it kind of sucks. You're really forced to jump through a lot of hoops and it definitely ruins the love of adventuring that the earlier Zelda games had for me. You have to do a lot of talking to people to trigger events that let you go places. You see Death Mountain? Wouldn't it be super cool to go up there and explore it, go through a dungeon, defeat a boss and get a cool item? Too bad. Mister Guard here won't let you through, so you gotta go back to the castle, talk to Zelda get a letter from her guard Impa, and then you can get through. But wait there's more! Once you're up there you gotta play a song for a Goron and here his story about how they're running out of rocks for the Gorons to eat! That means they want you to go help defeat the nasty boss hiding away in the dungeon so they can go eat the rocks from it.
Too bad they live in a cave. Which, you know, has rocks you have to blow up to get to hidden places. This post is getting super long so I'll just stop here and leave you with a link to a video about Ocarina of Time vs A Link to the Past. It kind of sums up how I feel about Ocarina of Time and the mistakes it's made. Although beware, there is a lot of swearing used in the video, so if you're not cool with that, don't click it.
As much as a few of the Zelda games have taken the fun out of exploring and turned it into more of a task, I still enjoy the series as a whole. It's pretty neat to look back and see how it's evolved over the years.
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