The LoZ: CE has the original LoZ, Adventure of Link, Ocarina of Time and Majora's Mask on it. It also includes a 20 minute demo of the WW and a tribute movie to the series. All this info can be found on the main site.
No, it doesn't have every Zelda game. It has Zelda I, The Adventure of Link, Ocarina of Time, and Majora's Mask. However, if you already have The Wind Waker and its pre-order disk, Four Swords Adventures, all of the Game Boy Zelda games up to A Link to the Past/Four Swords, and the Game Boy Player(like I do), then you can play all The Legend of Zelda games on the GameCube. That was Nintendo's point in excluding some of the games in the Collector's Edition.