Puzzles in Zelda...hmm...there are simply too many to choose. I'd say I've liked each and every one so far. Most of them have been at least somewhat challenging, while others have been so difficult that when you find the solution, you scream out in frustration because it was right in front of you the whole time.
I suppose a few that stand out are the Mirror puzzles in Majora's Mask, nearly everything in the later-game Oracle of Ages and Seasons, and perhaps some things from the Water Temple in Ocarina of Time.