In Skyward Sword, when Demise was defeated, he placed a curse on the hero and the princess. He warns Link that it is not over, and that an incarnation of his hatred [Ganon/Ganondorf] will be reborn as a being to pursue domination of the world, as well as those with the blood of the Goddess and the spirit of the Hero, in a non-ending cycle of rebirth Basically, foreshadowing virtually all of the major events of the Zelda franchise.
It explains why Ganon/Ganondorf returns. Not always. Sometimes, there's other evil villains fulfilling that role, but most of the time, it's Ganon.
I also like the characters in the games. It makes you care about them and their plight that you actually want to help them. In some games, some of these characters aid you on your journey.
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