Some folks on the internet thought Link would fly in the upcoming Zelda title Skyward Sword. With the abscence of an elevator, Link should have wings to travel between the Sky and land. Eiji Aonuma made in Nintendo Power an end to this thought:

“[Laughs] I hadn’t thought of that [Epona as a Pegasus]! You surprised me with that one! Of course, you know, Link does have to travel between Skyloft and the land below, and back and forth, so he’s obviously going to have to do that via some sort of conveyance. That being said, I’d like to reveal that at a later time, so I don’t want to give away too much other than to say that he is going to be traveling between the two. However, I can guarentee he’s not going to be flying around like [Pit from] Kid Icarus!”

(Source: Nintendo Power)