In looks, Sheik has this cap of something that looks suspiciously like toilet paper. Tetra had a curly-doo that resembled Ezlo's, except not so bouncy. Sheik wears um... rags? Anyway, they're tattered. Haven't seen either for a while so, I only vaguely remember that Tetra had a knife or something. Yes, I know Sheik probably has one in Brawl, but I don't know if we're talking about the Brawl or OoT Sheik. Also, Tetra is
colorful.
In utility, Sheik probably gave you several of the teleporting songs, while Tetra shot you off of a
catapult. A friggin' catapult. 
Now, I have no idea whether it's possible to go through the game without teleporting, while Link got catapulted to save his little sister, who apparently got snatched off by this gigantic bird thing and she didn't even run. She could've at least fell through the gap in the bridge.
So I dunno who Zelda goes for. She causes serious harm to Link either way, from either extreme blood loss from going temple to temple, to getting severe cranium and brain damage.
Whoo, so many words. D:
EDIT: Pirates still own.