Sometimes Zelda has been known to appear in disguise, either willingly or unwillingly, to the player.
Sheik was the first to greet Link after his seven year imprisonment in the Chamber of Sages in Ocarina of Time. He presented himself as the last living member of the Sheikah tribe. He helps Link throughout his quest by dropping hints and clues as to what to do next, and informs Link he must awaken the Sages in order to save Hyrule. Not long after doing so does he reveal that he is a she, and she is really Princess Zelda. Sheik appears to have impeccable physical prowless, meaning Zelda is definately not the kind of princess who shys away from physical confrontation, or bettering her skills on the battle field.
Tetra is the rouch-necked and tough-talking leader of a band of misfit pirates who roam the seas in search of treasure and adventure in The Wind Waker. After a brief stop in the waters near Link's home island of Outset Island, Tetra is kidnapped by a giant bird who eventually drops her in the woods of said island. Link goes to find her, and in a case of mistaken identity the bird kidnaps his kid sister Ayrll instead of Tetra. Feeling responsible for the turn of events, Tetra helps Link as he travels from island to island in search of his sister. It's later revealed that she is, in fact, Princess Zelda, and the two join forces to defeat Ganon and protect the Triforce.