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Link's Worlds
Hyrule, Link's home land, is where most of Link's adventures take place. Most of the main races of the series can be found in Hyrule, with a few aceptions e.g. Subrosians, etc.
Koholint Island
In his first game for GameBoy, Link is stranded on the island of Koholint, (which always reminds me of the Kokiri, connection? Maybe, but I'm doubtfull); anyway, at the end of his quest, WARNING: THIS NEXT PART IS A SPOILER, PLEASE SKIP ALL PARTS IN RED AS NOT TO 'SPOIL' THE GAME. Link finaly collects all the instruments of the sirens and awakens the windfish. We come to find out, that Koholint and all of it's anhabitants are nothing but a dream, just characters in one of the windfish's elaborate slumbers, and with the the fish's ballad playing in the background, Koholint disapears before Link's very eyes, in a very moving cinima.Based on what I just said, I'm not really sure as to designate Koholint as it's own diminesion or world or whatever, but it was far enough (figurativly) from Hyrule, that I think it deserves the title of 'other-world' Then again, this inscription was found on one of the walls in which Link was exploring, read it here
Termina is the world Link ventures into in The Legend of Zelda: Majora's Mask. Although some people consider it perhaps to the west of Hyrule, and you would be able to get to it by, say, crossing Desert Colossus and heading to the west, but, clearly, it's a parallel world. When the game starts out, Link chases after the skull kid with Majora's Mask on. Eventually, Link falls down a long cliff. During this sequence, everything goes black, and neon-light masks fly past Link. This is what I always thought to be the portal that led to the parallel world, but some say that, later on, when Link walks into a hallway that rotates and the such, is the portal. Whatever the case, more than likely either one of them is the portal. Continuing on, it's clear that it is a parallel world. Koume and Kotake, the sisters whom you have to fight in Ocarina of Time, work in small businesses in the Southern Swamp, and are friendly, which is the opposite of what they are(or, were) in Hyrule, which was evil. As well, other characters show up, but with different names. For example, Ingo, or, known as a Gorman brother in MM, is happy at the end of Ocarina of Time. In the parallel world, he's mean at the start, then ends happy, which would mean if Link travels back to Hyrule in the Zelda game for the GameCube, more than likely, Mr. Ingo is going to be mad once again. Other characters include Malon and her counterpart Cremia/Romani, King Zora from OoT and his MM counterpart, Mr. Toto, and finally, the "Man who jogs a million miles" in Ocarina Of Time and his counterpart, the "Mailman." Why, if you ask, do I not consider the Happy Mask man part of the counterparts? Simple, he is the same person. Think about it. After the 7 years of Link's slumber in OoT, the Happy Mask Shoppe is completely closed down, as well as other stores. But, the difference is, you can find everyone else in different cities, except the Happy Mask Man. Where could he be? Obviously, during the 7 years span, he took his masks and left Hyrule Market in search of others, and to sell them in different places. As he was wondering in the Lost Woods, doing who knows what, the skull kid attacked him, after being "banished" from Clock Town. Some time later, Link showed up, which is where, presumably, the Happy Mask Salesmen began to spy on him and thus meet up with him in the Clock Tower at Clock Town. The skull kid is the same one who you teach the song to in the Lost Woods in Ocarina of Time(the lonely one, by himself).

BiGT Adds: This is Link's first other-world expirience (chronologicly), here he is bestowed the task of saving the land in 3 days from a suicidal moon. On note you might not realized is that a life-threatining is called a terminal illness... conincidince, I don't think so.
Link's most recent adventure takes place here, in these strange lands that Koume and Kotake rule over; It all starts when Link is summoned by the triforce to save this land from the evil sorceress sisters. If you play a Linked game (no pun intended) this plot and it's entirety is revealed. Please note: Labrynna and Holodrum are not separate worlds, I'm even beginning to doubt that they're not just in some far off land in Hyrule's world. This second point can be proven simply by making the observation that Zelda and Impa made it there with out the aid of the triforce, so they must have walked. In seasons even see that the hylian travelers came by wagon(A Zelda version of orgeon trail anybody?). The first point is proven in much the same way, in that when you complete the first game, and go to the second via password or linking (both achieve the same result, they're just different methods) some of the townspeople (mainly Bipin & Blossom, and their kid, I named him BoB) already know you. Now think about it, do you think Bipin and Blossom travel interdimensionaly, noooooooo, THEY WALK. Thus, this proves my point that Holodrum and Labrynna are 2 separate lands, but not to separate worlds. (After that I'm almost sure they're in the same world as Hyrule, but don't quote me on that.