In Zelda 2, there's a mirror that you have to find in a random house. When you crouch down and pick it up, one of the game's text crawls reads as follows:
As far as I can tell, this is the first and only time that Link's thoughts are verbalized directly to the player. As most everyone knows, Link is a silent hero who only grunts and yells. Obviously moreso in the later games. The games even make fun of that occasionally by having characters ask him why he's so quiet or whatever.
Are there any other instances in the series where Link speaks his mind, be it through a voice actor or written dialog box? CD-i does not count :)