I don't get it for Zelda on the DS either really.
Though I appreciated my time in the first game for some reason. Guess it's because it was the first Zelda game I actually experienced & played through (I had played Zelda on NES but wasn't good enough on it to have any clue where I was going, also tried Link but had even less of a clue there.)
Half of the game is spent transporting yourself from some point to another point with repetitive game play, many of the puzzles are similar and repetitive too and the flute playing part in the second one was frustrating because it was hard to get it to play as intended and I didn't knew what sort of "errors" it accepted which made it easier to get a pass.
Anyway, to me it's played part for the story and mostly for interesting puzzles but the transportation just seem like a filler.
It's not much of an open world either, some "quests" may be unlocked as you go in older places but it all bring you further in the story and I guess you may have to do it all to get there (or maybe some is of collecting swag to be able to upgrade your train in the later case.)
So it give you this world where you can move to any place you want in it (well, after they are opened up) but there's no reason to because only one or some points will allow you to travel further in the game. So you're just wasting time in dull game-play for the sake of it.