The series is named after her, but Zelda is often little more than the name of a damsel in distress who needs to be rescued. In some games, she’s more of an idea than a character and we learn little of her story or her personality. It’s no wonder that from time to time people assume that the guy dressed in green running around must be Zelda, since the game’s called The Legend of Zelda and he’s the one we’re following. The Wind Waker and Spirit Tracks can be considered exceptions, and Zelda has a stronger presence in those games, but even then she wasn’t as strong a character as she could be (or had an alternative form or character). Skyward Sword is the first Zelda game to not only sketch out her personality in the beginning but establishes a solid relationship between her and Link that gives him motivation for pursuing her and also keeps her on the player’s mind, according to Gamasutra.
Gamasutra’s article establishes a fact that we Zelda fans all know well: the series has a lot of themes that have remained consistent throughout its run. Link will have to leave his home in order to rescue a princess and/or save the land from an evil force. He’ll collect items and venture into dungeons. The article suggests that these themes are metaphoric: Link will go from being a boy into a man. The princess as the object of rescue is a fairytale, an ideal toward which to strive. Link himself dutifully achieves his goals but remains essentially a blank canvas and he grows because the gamer makes him. In Skyward Sword, not only is Zelda given a solid characterization herself for the first time, but Link is also characterized through her.
All Zelda games featuring the titular character involve Link having to rescue her at some point, and Skyward Sword is no different. What it does do is set up a relationship between the two prior to the drama unfolding so that when Zelda is finally taken away, we know and feel Link’s determination to get her back. The game also keeps Zelda on your mind by the way it makes you think that she’s always just ahead of you. You arrive at a location just after she left. You see her, but then she’s whisked away. Not only does this help the gamer empathize with Link’s loss, her presence creates a higher emotional stake.
You can read the entire article at Gamasutra.