ROMANCE
Before I begin, I would like to say there are no definite romantic pairings in this or any other Legend of Zelda game.
This was touched on lightly in the Link section. Given the hectic life Link leads, it really does leave little room for romance and love. The Legend of Zelda series is a traditional fairytale in that it weaves a wonderful tale of a humble boy rising to save his home from evil. At the end of this adventure, he has become so much more than the simple child he had been at the beginning.
Malon, on the other hand, is perhaps the most normal girl Link meets and interacts with. She is not a sage. She does not possess any knowledge crucial to Link. Simply put, Malon seems (by the game's standards) unecessary. Link can go the entire game without ever setting foot in Lon Lon Ranch. So why ship Link/Malon when their interactions are so limited and Link's entire goal is to search out Princess Zelda?
Because I believe after everything is said and done and when Link's whirlwind of a life has finally settled down, I would think he would want to settle down, to live something of a normal life. He was never truly normal, even at the beginning. He was all but alienated from the Kokiri because he did not have a fairy. And immediately after gaining a fairy, he is thrust into the life of a hero.
Malon represents normalcy, something I think Link rather craved. She has a stable ordinary, existence and I think Link would be attracted to that. Judging from the farming tools in his tree house, this type of work would not be foreign to him. So it is not so farfetched to believe that he is capable of doing ranch work.
Because of their limited interactions, it is hard to tell whether or not Link and Malon ever have anything more than a great friendship. But she is an appealing and plausible alternative to the other girls Link is paired with.