Which one should I play?
Ocarina of Time, Majora's Mask, Twilight princess, or Wind Waker?
They are all masterpieces, but Ocarina of Time is probably the best zelda game of all time sans the SNES title. It's also likely the game you haven't played most recently in that collection so you should really enjoy the nostalgia that comes with the simplistic N64 look, feel, and game play. I'd recommend it.
Of course if there's one of those you never finished the answer should be obvious.