My favorite game for the PS2 has to be...Okami. Clearly the most over looked title in possibly gaming history, blame RE4 for that.^^ Anyway, If you're looking for a LoZ on the PS2 look no further. It's a great action adventure title with a good story, a set amount of difficulty and more easter eggs then you care to find.^^
I'm also a large fan of KH series, Birth by Sleep is currently the most anticipated game in my quota. I enjoyed the Budaki DBZ games, although not one of my favorite fighters. I consider myself extremely good at the Tekken series.