Moon

Majora's Mask
The moon was a puppet of Majora's Mask during Link's adventure in Termina. It had been pulled from it's orbit, threatening to crash into Clock Town and ruin the Carnival of Time. To help show the townspeople their fate, it had an evil face creeping across it. It was to destroy Clock Town in three days if Link was to do nothing. One of the interesting points of the moon is that it always faced south. Another thing is, is that inside of it was a beatuful meadow, hazy like a dream; the only thing to break the scene was a single tree. The moon was stopped from it's path by the Four Giants, after Link freed all the giants he played Oath to Order which signaled them to come and stop the moon. The moon then became possessed by Majora's Mask, which manipulated it into opening it's mouth, it's eyes started to glow, and it said:

"I- I shall consume- consume- consume everything."

The moon was the scene of the final battle in the game, and it seems that it was destroyed afterwards. The moon was one of the many mysteries of Termina that will probably never be solved.

The Wind Waker
The moon also had a part (though smaller) to play in TWW. In that game, players had to pay attention to the lunar cycle, in order to determine when and where the Ghost Ship was likely to appear.

The Legend of Zelda
The first reference to the moon, however, lies in the first game. The second underworld of the game was in the shape of the moon.