Most games suggest that there is nothing more than friendship between the two. But there are some exceptions:
In the ending The Adventure of Link Zelda kisses Link on a cheek (but she has been awakened after a 100 years-long slumber, so it is probably just a show of gratitude);
In the linked ending of the Oracle series, Zelda kisses Link on a cheek again, and then blushes and looks away (some players do not consider the game canonical, anyway)
In Spirit Tracks there are many clear hints of an intimate relationship between the two. This is probably the only example of true love between Link and Zelda, as they live a whole adventure toghether.