Crossovers are a touchy thing. While some can turn out really well (I read a MAD Final Fantasy X and Kingdom Hearts crossover one time) some can just turn out... average. Don't try and cross over things that are radically different, for example, a Zelda/Evangelion crossover would just be too contrasting to work very well at all.
HOWEVER, things that share stuff in common, like say a Zelda/Record of Lodoss War crossover would be AWESOME as both the series have a tonne in common (Your general save the princess theme, with elves and a medieval setting) you could easily incorporate characters like Link, Zelda and Ganon into that setting, or vice versa.
Scenarios are also a touchy thing, you need to figure out a logical explanation as to why these characters have suddenly warped to this other universe, far too many authors rely upon the clichéd "Dark door that leads through space". A fresh take on the whole thing would to have the character die, or black out and then awake in the other world. Although I'm sure that's been used before also.
While Kingdom Hearts and Zelda as games share alot in common - Mainly battle system and control - their themes and storyline are quite different, so interlocking the two is difficult. Of course light hearted cross overs are almost ALWAYS easy to work with, they need no explanation, no continuity or anything. And it's just hilarious to see Kuja and Asato (Final Fantasy IX and Yami no Matsuei) competing in a beauty competition.