1. Hyrule and its surrounding areas
This one's a freebie. If you know anything about the Zelda series at all, you ought to know that the games typically take place in the kingdom of Hyrule. It's the home world, the default, the usual, neutral, normal world of Zelda. There are also surrounding regions that are part of the same world, but outside the kingdom of Hyrule such as the world of the Ocean King (Phantom Hourglass), Holodrum, and Subrosia (Oracle of Seasons). Hyrule seems to be the most important place in the world, however, as it contains connections to most of the known alternate worlds, including the Triforce's resting place, and is where the goddess Hylia incarnate, Princess Zelda, resides. Note that some also refer to Hyrule by the [way better] name of "Grooseland".
2. The Sacred Realm (aka The Golden Land) (aka The Dark World) (A Link to the Past)
The Sacred Realm is the area/world created when the three goddesses of creation finished creating and left some of their power in the Triforce for the created world. It's not super clear how the Sacred Realm is connected to Hyrule except that Link inadvertently lets Ganondorf into it when pulling out the Master Sword in the Temple of Time during Ocarina of Time. Since the power of the Triforce can be used according to the heart of whoever touches it, Ganondorf's evilness transformed the Sacred Realm into the Dark World as seen in A Link to the Past. There's also a dark world in Four Swords Adventures which is probably the same place, but might not be - who even knows any more.
3. The Wind Fish's Dream (Koholint Island) (Link's Awakening)
This world is unique in that it consists only of an island (Kingdom Hearts anyone?) and really only exists as the dream of the Wind Fish. Seemingly, Link is the only real world person in this dream world and it's unclear how he got there in the first place. Unfortunately, this world was short lived, as it and everyone in it (except for Link and the Wind Fish itself) ceased to exist once Link woke up the Wind Fish at the end of the game.
4. Termina (Majora's Mask)
Termina is another weird one. Link gets there by falling down a rabbit hole, so to speak, and the place definitely seems to be not just a part of Hyrule's world, but a whole new parallel world since its inhabitants are alternate versions of the people of Hyrule. The strangeness of Link's coming and going to Termina makes me question whether the place really exists at all. Maybe Link just hallucinated the whole thing... Maybe Link was dead the whole time!?
5. The Minish World (Minish Cap)
|A brief glimpse of the Minish World. (Source)|
6. The Twilight Realm (Twilight Princess)
|The Palace of Twilight (Source)|
7. Silent Realm (Skyward Sword)
|Lanayru Desert's Silent Realm (Source)|
8. Lorule (A Link Between Worlds)
If there's a true parallel world in the Zelda universe, Lorule has to be it. It's essentially identical to Hyrule down to the locations and people (though they certainly have variations) and we can assume that Lorule also has surrounding lands just like Hyrule does. It even has/had its own Triforce, which makes me question whether it had its own set of golden goddesses as well... On top of that, since it is said to have its own version of the Sacred Realm, it seems possible and even likely that Lorule may have its own version of all of the other parallel worlds mentioned up to this point.
9. Lorule's Sacred Realm (A Link Between Worlds)
10. Wherever the Goddesses Went
I had to read between the lines for this one, but we know that after the golden goddesses created Hyrule and the surrounding world (or all worlds?), they departed from the earth and left the Triforce behind. But that leaves one question: Where did they depart to? Another world? Outer space? Heaven? No one knows, but I have a theory. Perhaps they entered into our universe and exist in every gamer who plays a Zelda game, enacting their divine influence on Hyrule in that way and helping the world be saved again and again. I've certainly heard crazier fan theories.
Did I miss any? Do you have a better fan theory? If so, let me know in the comments! Also, here's a shout out to the TV series Fringe for having practically the same plot as A Link Between Worlds.