In The Legend of Zelda: Majora's Mask, Link is actually dead and Termina a sort of purgatory. It's geography makes absolutely no sense, for one thing. It's not underground, yet found at the bottom of an insanely deep pit in the Lost Woods (not only geographically impossible, but most conveniently the return journey is also impossible). The name "Termina" is quite similar to the word "terminal", meaning "the end". The moon is not only far too small and falls far too slowly, but it's somehow gone completely unnoticed in Hyrule and other areas that the moon at one point almost crashed into the earth. The residents of Termina are almost all (physically) carbon copies of people that Link has known in Hyrule. The aptly named "Song of Healing" which, instead of medically healing the listener, soothes their troubled spirit so they may move on. Even when the listener isn't actually dead yet, e.g. Mikau. Most compelling of all, the five areas of Termina, Clock Town, Woodfall, Snowhead, Great Bay and Ikana Valley, each not only represent the five stages of grieving, (denial, anger, bargaining, depression and acceptance, respectively), but they're also must be completed in that order. Finally, it's made very clear from the very beginning of the game, even before his first encounter with Skullkid, that Link is going somewhere, and his ending up in Termina is completely unintended. However, it's never even hinted, much less revealed where he's going. Considering it's the reason he ended up in Termina in the first place, it's rather suspect that it's outright ignored.
I have to say, it's certainly one of my favourite fan theories.