This is a must for any Zelda fan
The first Legend of Zelda is a bit dated now but back in the NES days it was fantastic. Seaching round in a 2D top down view looking for pieces of the Triforce,getting items and battling bosses. It had secrets that had to be blown up by bombs and there were potions.
Zelda 2 is considered the hardest in the series it is a traditional sidescroller and is the first game where Link uses magic. Some of the bosses are hard and I would say its only for the true Zelda fans.
The Legend of Zelda Ocarina of Time well there isn't much that shouldn't be said. You could just basically get the collection just for this game its that good. The puzzles and the atmosphere in this game is awesome. Bosses are massive and Hyrule Field is in glorius 3D. This game has so many wow moments the temples and the places you can go and also you get to ride a horse called Epona if you beat a someone in a race. I don't think much needs to be said its considered the finest in the series by mostly everyone.
The Legend of Zelda Majoras Mask is a new take on Zelda. You are battling against the clock. You have 3 days or 72 minutes in this game to save Termina from colliding with the Moon. You can though go back in time and play a tune backwards which shall make it go 3 times as slow. This game is all about masks and the powers they have. A tough Zelda but if you understand and get use to it then you shall love it.
There is also a Zelda Wind Waker Demo which lets you play the GameCube title the Legend of Zelda the Wind Waker for about 20 minutes. That should be more than enough time to convince you to get the game as well because it is good if you don't have it. Also there is a short video showing all the Zelda games up until 2004.
Overall any Zelda fan shouldn't miss this awesome collection. It's one of the best collections ever to one of the best series ever. For a cheap price this is a bargain.