Angst? What Angst?: In both Wisdom and Courage and Blood and Spirit, Link does not show a great deal of outer concern over the fact that he could end up being totally corrupted, thus losing his life. In fact, other characters, specifically Zelda, show much more grief over this. Though this could be in part thanks to the hero's Determinator status.
Chapter 25 of Wisdom and Courage explains exactly why Navi left at the end of Ocarina of Time; guardian fairies are unable to indefinitely survive outside of the forest, and Navi was chosen to be Link's partner because she could survive in the outside longer than the others. When she departed, she was so weak she almost didn't make it back, and her heart was "just too heavy for goodbyes." As it turns out, when Link was searching for her before ending up in Termina, Navi was searching for him as well.
Blood and Spirit establishes that the Dark Interlopers mentioned in Twilight Princess were in fact a rogue faction of Sheikah.
Chapter 3 of Blood and Spirit reveals that Ikana Kingdom was founded by Majora's worshippers, and that Ikana translates to "land of the great demon," and that Majora had designs on the Triforce, causing the goddesses to seal off Termina's entrance to the Sacred Realm.
Blood and Spirit also reveals that the Fierce Deity and Majora are Link and Demise's respective Terminian counterparts.
The trilogy introduces Terminus, Hylia/Zelda's fraternal twin sister and the guardian deity of Termina. It also states that Link's arrival in Termina during the events of Majora's Mask was no coincidence; the Golden Goddesses guided him to Termina when Terminus begged them for aid in stopping Majora's Moon Drop plan.
The civil war that was briefly mentioned in Ocarina of Time is revealed in Wisdom and Courage to have been caused by Veran, which also necessitated Link's mother taking him to the Kokiri Forest and leaving him in the Deku Tree's care.