[slowpoke]

I agree to a point, but there's a reason I included "world progression" into that point.

I do have to admit I'm a bit biased on this since I've read a lot of supplementary materials which flesh out the games a lot (there are mangas for Ocarina of Time, Majora's Mask and quite a few other Zeldas), and especially the newer Zeldas (arguably starting with Majora's Mask[1]) do have a decent plot and story, even though it isn't as "epic" as the likes of Final Fantasy.

[1] Majora's Mask deserves a special mention because it's - perhaps infamously - a very non-standard Zelda. Most of its charme lies in the incredible amount of (mostly optional) character driven side-quests which range from funny and interesting to soul-crushingly depressing. I consider it my favorite game in the franchise for this reason.