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.
There is, in fact, a good deal of emotional investment in Termina's cast. They all have three days to live before that grimacing moon turns them all into paste, and they don't know what to do about it except (attempt to) get on with their daily lives. Quite frankly, they need a hero; unlike RPG townspeople who flail into a panic when a Rabite gets within two screens of their hamlet, Termina's citizens can't stop a moon that took it upon itself to fall. Only little Link can save them by travelling back in time over and over.
This is where Majora's Mask breaks me down. There is some seriously bad shit going down in Termina, and not all of it relates to the moon. The Deku scrubs (adorable) have turned mean and suspicious because their water supply has been poisoned. An icy blast of air coming off the Gorons' mountain is freezing them, and the Goron Prince won't stop screaming because he misses his father (DEAD). A little girl is struggling to hide her hideous zombie father from the public, and Anju (the aforementioned re-cast chicken woman) is desperately looking for her missing (cursed) spouse.
Here's the thing. You can turn the Deku's swamp back into a pure, sparkling lake. You can save the girl's father. You can bring warm weather back to the Gorons and ease the screaming baby Goron with his father's memory (dad stays dead). You can even re-unite Anju with her estranged spouse after an intensive sidequest that takes up all three of the pre-apocalyptic days.
Then you have to play the Song of Time after each major event and everything goes back to exactly the way it was before Link performed heroics.
Of course, the idea is to fix every bad thing one event at a time, even if the fruits of your efforts don't stick around from time jump to time jump. Eventually you earn the right to face off against the jerk causing all the problems. Until you get there though, that Goron postman is going to keep sleeping in the rain because Link took his hotel room.
This is all kind of odd for me to admit because I don't think I've ever said, "No. I can't finish this game. It's breaking my heart." If you slum around the Third Day (Judgement Day), you get to witness a clock counting down the last five minutes of Termina's life, accompanied by some melancholy, defeated music. If you took the special pains to reunite Anju and Kafei, you get to watch them agree to die together. If didn't lift Kafei's curse, you get to watch Anju crying helplessly about the absence of her fiancee. It's win-win!
Before you tell me to try again, I'd like to say that I did. I own all fifty of the Zelda GameCube collections Nintendo released. I hardened my heart and walked boldly into Termina once again--and was shot down by chronic crashing issues.
Nintendo said: "Yeah, oops. Just have to put up with it, I guess."
So I have a glitchy copy of the only Zelda game that doesn't allow you to save at the drop of a hat. Very nice!
Related Links:
Miyamoto Says "Something Was Missing" From Zelda: Twilight Princess. We Know It, Too.
Brave New Super Mario World
Philosophy? In MY Zelda?