Ocarina of Time. It seems to me like the best start simply because it introduces elements I consider standard in the series pretty early. You have Link, Zelda, Ganondorf; Gorons and Zora in their natural environments; the Master Sword, a musical instrument and items that are actually useful in lots of situations; "classical" Zelda puzzles without too many gimmicky playstyles... and an overall good and simple story, really, with lots to do here and there. You never need Epona, or the Fire Arrows, the Biggoron Sword or some of the magic spells, for example, but you can still get major stuff like that if you want to.
I love Majora's Mask, but I feel it's too different in some regards to be the "first Zelda". That, and the time limit can become frustrating if you are not familiar with the puzzle style, of sorts. Wind Waker was also fantastic, but it stands out a bit with its sailing aspect and stuff. Still, good candidate, as it has all the "important" things like Ganon, the Triforce and all. Hyrule is underwater through.
Twilight Princess... eh, I dunno. Good game overall, but since Ganondorf hardly shows up at first and the Triforce is not really explained for what it is, the story might not be "first" material either. Then there is all the useless items of sorts that made me feel like I was weighed down with gear rather than getting useful tools. Finally, the Tron lines might seem a bit off to some.
A Link to the Past could be a great game as well, it depends on if you want to stick with the 3D Zeldas. It explains the Triforce nicely, for example, and the Dark World can be an interesting mechanic.
Skyward Sword is nice, too, but I have not fully completed it yet so I won't say much about it. It might be a bit too... different? I dunno. What is "Zelda", really? To me,
OoT kinda perfected it, even if I yield that some of the newer games have better mechanics, perhaps, and that older ones may have the legacy principle going for them.
But hey, personal opinion: Start with Ocarina of Time, followed by Wind Waker. Majora's Mask or Twilight Princess is next, depending on what you feel like going for. Skyward Sword after them, simply for being the newest.