Link is not really an interesting character, and purposefully so. He is a cipher, intended to help the player project themselves into the game. The most boring thing that somebody can talk about is Link's characterization, Link's feelings, Link's personal connections.
I'm here to talk about Link's feelings.
In Ocarina of Time, Link is cast as the Hero of Time. In practice, this means that the player can jump between a time before the rule of Ganon, and a time 7 years later when Ganon is doing his big-bad routine to the whole world. The plot of the game starts with Link as a child. Soon, he transforms into a 7-year-older version of himself without experiencing any time in-between. The cruelest form of time travel - he still ages, but gets none of the benefit of having lived the years between 9 and 16.
In the end, Link saves the world in the future timeline, but returns to his present, when he was 9 years old. The implication is that none of the bad things happened and, therefore, the world didn't even need saving. His role as the Hero of Time is totally negated, and nobody knows what he did.
Another part of the tragedy is that by this time Link has not only discovered that he has no family, but that he doesn't even share a species with those who surrounded him as a child. He can remain in the forest, but he is the only one who will age. The Kokiri who raised him remain forever children. What does he have left? He's essentially an orphan, and it's implied that the only person who even knows him outside of the forest is a princess in a castle town far away. And there's no way he can be friends with a princess.
The direct sequel, Majora's Mask, begins with 9 year old Link racing through a foggy forest riding his horse, Epona. He gets mugged by a Skull kid in a weird mask and loses all of his possessions, as well as his horse, and falls down a hole into another world.
Majora's Mask is a game about impending doom. The moon is going to crash into the world in 3 days, and nobody can stop it (except Link of course). Death is everywhere - the three major masks that Link can acquire are all the faces of dead people, and one of them is a child. Almost everyone is miserable, and even those who have found happiness will be dead in 3 days.
I think this is a perfect mirror for the turmoil that Link must be experiencing. He has no family, he has no friends, and even his accomplishments are taken away from him. He's thrown into a cruel world where nobody wants to speak to him. He finds himself repeating the same 3 days ad nauseam, having almost all of his achievements taken from him every single cycle.
And yet, he starts to make progress. He starts to learn the world, its pitfalls and its charms. He gets to know the strange, miserable people around him, and he begins to use his curse as a way to help those around him, even if it's only temporary. He plays songs of healing for those near death, and finds a way to make their sacrifices (or meaningless deaths) into something that will eventually save the world.
At the end of his mission, he discovers that the Skull kid who mugged him is just a lonely little boy. And even the main villain is a lonely deity who can't find friends to play with him. They are reflections of his emotional state, but he is able to use his likeness with them to learn about them, and in the case of the Skull kid, save a life.
The perfect encapsulation of the theme of misery being turned into progress or even joy, is when Link puts on a transformative mask. Watch this animation:
Link is obviously in terrible pain every time he puts on that mask, yet it is necessary to do this maybe a hundred times during the game itself. The pain is worth the results, and it's a reminder of the sacrifices that went into making that mask.
So Majora's Mask ends up being a catharsis for Link. He may still be miserable, but in helping others through their misery, he can maybe find a way to help himself.
I'm not here to say this was intentional on the part of the designers, but I think it ties in nicely to the Hero of Time legend. It's probably the darkest of all of Link's incarnations, especially when you consider that Wind Waker effectively erases everything Link DID achieve in Hyrule. Majora's Mask is a perfect send-off for the loneliest Link, and it's my favorite of the series.
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