What annoys me about stealth in Zelda games is what happens when you get caught. A cutscene begins immediately, and you're thrown where ever. This is especially jarring in the Gerudo fortress, where you're fighting enemies that you can probably easily defeat. For example, you have your bow pointed at a Gerudo guard, but then she turns around. You instantly freeze and are unable to do a thing about it, even though that one arrow can take her down, and any help she calls for.
Wind Waker fixes it up a little by having you lose your sword first. I'd rather the enemies have to actually catch me rather than just notice me though. Not being given a chance to run and having it assumed that I can't fight back at that point is... annoying. It's all in the effort of encouraging stealth over action though I suppose. This is contradictory though, since in Zelda (unlike MGS), you're taught through most of the game that you can take on tons of enemies single-handedly and keep going.