I don't finish a lot of the games I buy, and I can't even say that I've played every single Zelda game. ("Release the hounds.") I can say that I've finished every Zelda game I've ever owned--with the exception of one.
I'll wait until you get the inevitable CD-i jokes out of your system.
Okay. The one Zelda title I've never finished is Majora's Mask for the N64. I let the apocalyptic alter-world of Termina die under the weight of a nightmarish moon because playing through the game made me feel like I was rolling Sisyphus' rock while watching Groundhog Day. It was an emotionally taxing experience and I didn't even get to laugh at Billy Murray driving over a cliff with a large burrowing mammal in his lap.
I suck for not finishing Majora's Mask, I know. It's arguably the most original of the 3D Zeldas, which is an interesting thing to say about a game that purposefully reuses the battle system and character models from Ocarina of Time. The difference is the care Majora's Mask takes with its recycling program. Nintendo could have gotten away with saying, "Oops, Link has to go back to Hyrule!" and we would have been happy enough to explore Ocarina of Time's characters and locales over again. Instead, the residents of the vaguely dreamlike world of Termina adopt new names, new problems and new personalities--changing them considerably from the carefree NPCs we were already familiar with.
Instead of feeling cheap, it's actually very unsettling. Nameless NPCs from Ocarina of Time, like the empty-headed woman in Kakariko who lost her chickens, suddenly inherit emotions and even take on extensive backstories.
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