Some Zelda games have more freedom in the world compared to others. Like, Phantom Hourglass has more secret things to find than Twilight Princess does.
IMO Skyrim; it is more emmersive, keeps you busy more, has more content and is generally more fun all round. Zelda isn't bad either, but I reccomend buying an ealier zelda, such as twilight princess, or wind waker, since they are similar to skyward sword, but are cheaper because they are older. The same goes for Oblivion, except that the changes are more obvious.