First up, we have Navi. The infamous fairy Navi. If there are any claims against Ocarina of Time's perfect game status, it's that Navi is in it. She flies around your head and spouts useless advice half the time. What's that Navi? I need to get to Death Mountain? Well, seeing as I'm two feet away from it, I really appreciate you helping me. I would have never found it otherwise! Thank you Navi!!
As well as being useless, she also cries out the ever annoying "HEY!" or "LISTEN!" or "WATCH OUT!" After hearing this a few times, you feel like tearing your ears out. On top of all this, Navi is not an interesting character at all, with no story or likeable qualities.
Ezlo from Minish cap was an interesting one. As you can see, he's a hat. This allows for Link to shrink down to reach small places. It also made the normal enemies you fought as Link become giant bosses as mini Link. Ezlo didn't offer as much advice, but his banter was enjoyable seeing as link was talking to...well, a hat.
Midna from Twilight Princess is an imp with many secrets. She reluctant;y joins Link for mysterious reasons which you go along with because you want the same goal, but she still doesn't like you that much and often berates you. So, right from the get go, she makes the game a blast to play. She has the most interesting story out of any companion as she is, in fact, central to the plot. Her backstory is slowly revealed to the player throughout the course of the game and she too warms up to Link and the two form a relationship that conquers most evil. The advice she gives is a little pointless, pointing out things you already know or could figure out within moments, but she's not too bad. Her laugh is a little annoying, but it hardly ever gets on your nerves, because you like Midna and want to find out more about her.
Ciela is the Navi-esque companion in Phantom Hourglass. Like Navi, she too is a fairy that often yells out "HEY!" (with much less frequency) But luckily, to prevent this from being a complete disaster, Nintendo took inspiration from the story they told with Midna and gave a story to Ciela that was interesting and made you want to know more about her. Ciela is also a likeable character and becomes essential to the plot as well. Towards the end, she even provides an extra grunt to your abilities which is always nice.
The most recent companion in a Zelda game: Fi. Fi is part of the sword you have and is sent by the Goddess to assist you on your quest. She speaks with a strange auto-tuned voice and has no understanding of human emotion, yet loves statistics. She may not be the most interesting companion story-wise, but she has great advice. In fact, you can choose which type of information she gives you from her menu. She is nice to have as a companion and in truth is actually kind of funny with the way she acts around the world.