The title that Nintendo chose for the series has led to a lot of confusion, even now, with people still confusing Zelda and Link. Basically, through the long and short of it, the primary focus of every game is on Link, so the title does seem a little off, but "Legend of Link" doesn't quite have the same ring to it (not to mention the confusion of "LoL" and "lol" – they somehow preempted that by 30 years!)
But, Zelda is just as much an important character in the series as Link, and even Ganon (or Ganondorf), so does the title link itself* to more than just a character? What is Zelda's Legend?
*Pun intended
Best Answer
The first The Legend of Zelda game was focused on rescuing Zelda from the clutches of Gannon, as his name was originally spelt. The decision to name the game after the princess instead of the player is probably due in large part to the ability to pick your own name. The argument over many years for Link to have no voice was that the player is meant to feel like they aren't controlling another character, but instead are a part of the game.
In the immediate sequel they dropped "The Legend" and opted for Zelda II: The Adventure of Link. This sequel wasn't as well received, so as they continued with the series perhaps it was a marketing decision to draw the attention of fans of the original.
As for what The Legend is, you have to look at the first game in the timeline, The Legend of Zelda: Skyward Sword. In that game this Zelda is not a princess, but the first human/mortal reincarnation of the goddess Hylia. This is further explained at the back of the Hyrule Historia book in a translated manga titled The Legend is Born, a page of which I have taken a photo of.
Long story short: Zelda is the reincarnation of Hylia, the goddess of the world seen in the games. Link, while important, is a creation of Hylia, not a god himself.