Final Fantasy would get boring if the characters stayed the same throughout each game. Zelda has been PROVEN to be a hit with the same characters, so why go and mess that up?
Well, if you want to get technical, they aren't necessarily the same characters, just reincarnations. But as Packfan104L4 said, if the games are awesome, why change it at all? The gameplay is innovative as ever and there's always that feeling of nostalgia when you pick up a new Zelda game, because you know you'll see the same awesome character battling the same awesome bad guy.
I think zelda games have already been through significant change. But anyways, Nintendo said that Twilight Princess would be the "last Zelda game of it's kind". Who knows what that means, but perhaps they are going to give the series a very significant change.
Now don't take me wrong, I love the zelda series. however, I too, think they should do some changes. While the graphics are improved in every game, that's about it. A new story, a new place, some new weapons; the concept is always the same. First, get to know the controls. Then get a sword and a shield. Go out in the world, and start the story. Go into a dungeon, get a map, compass, boss key and a new weapon to use on the boss. Collect more hearts or pieces of hearts and repeat the process. It's getting old, sure, but it's still a receipe for success and has been working great for the last <20 years or so. I can't think of anything to change in them, except to add speech and maybe a more original and epic storyline with bigger battles, and perhaps more multiplayer support. NOT in the MMORPG way, but levelling up would be a good way to make the games more personal, and maybe some more supportive characters to help with bosses and puzzles. Kind of like the four sword series.
