I don't think I've ever legitimately beaten Zelda for the NES. Using a computer emulator with easy access to save-states and such doesn't count, in my book. And I know I've never finished Zelda 2, even on an emulator. I've been meaning to eventually do something about that since I have them both for the Wii (which is about as close as I'll probably ever get to beating them "legit" since I don't have an actual old-school NES with the games), but I just haven't gotten around to it yet. :/
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