Link is Dead in Majora's Mask

This theory, while unable to be proven due to the ambiguous nature of Majora's Mask, has substantial and compelling evidence.

This theory is perhaps best known through the following video:

Regardless of whether you believe Link is dead in Majora's Mask, you cannot ignore the five stages of grief and the themes of death and loss prevalent in the game.  It stands as one of the darker and more mysterious entries in the Legend of Zelda series.