The problem with Midna is she destroyed the masking technique of how you just sort of become Link, the blank slate silent hero. She never shuts up and basically hogs all the cutscenes and conversations, she kicks you the gamer out of inhabiting the role.
–- Update From New Post Merge ---
@The:
I don't mind travelling as long as I know where to go. In the old Zeldas, I would come out of a dungeon with a new gadget thinking "…now what?". In Okami, I liked how the story always told you where you needed to be, so that I didn't need to track down every NPC again to get a clue.
I hope by "old zeldas" you mean the first two. Because those are the only ones that you're damn near blind during. Every one since gives you enough hints to follow off of that you don't need to talk to random people and walk around aimlessly.