Stylus

The stylus is a pen-like object used to operate the touch screen on the Nintendo DS and Nintendo 3DS.

The Legend of Zelda games
To date, the Legend of Zelda games that use the stylus are:
 * Four Swords: Anniversary Edition
 * Four Swords: Anniversary Edition
 * Four Swords: Anniversary Edition

Nintendo 3DS Virtual Console menu

 * The Legend of Zelda: Link's Awakening DX
 * The Legend of Zelda: Link's Awakening DX
 * The Legend of Zelda: Link's Awakening DX

Tingle games

 * Tingle's Balloon Fight DS
 * Too Much Tingle Pack
 * Ripened Tingle's Balloon Trip of Love
 * Ripened Tingle's Balloon Trip of Love

Upcoming
Presumably the upcoming Zelda Wii U will also use the stylus.

Phantom Hourglass stylus
During the beginning parts of ' release, Nintendo of America ran a promotion in which, after registering the game on their Web site and taking the subsequent survey, they would send the person a Phantom Hourglass-themed stylus which is clear-colored and shaped like a feather pen.