Here are a few items that make me very thankful, from Zelda games:
Light arrows in Wind Waker, no doubt. One arrow can kill the strongest of enemies, and that is just like...wow.
Fierce Diety Mask from Majora's Mask, as Kojinka said. That is the coolest single thing in that game...besides the little chicks in the cucoo hut. (They're so cute!)
Power braclets in Link's Awakening. They aren't really that good, but it got really annoying how if you walked up to a large stone, it would always say "This looks pretty heavy, you wont be able to lift it with just your bear hands." After I've read that for the billionth time in one day, I feel like smashing my Game Boy to the ground, so that's where the power braclets come in.
The bait in Wind Waker, because I like talking to that fish that says "'hoy small fry!".
Fully restored Master Sword in Wind Waker; I just like the fell of it.
Megaton hammer in OoT, which is extra fun to use against the boss in the Fire Temple...it's like whack-a-mole!
That's about it.