Classified as an early exotic, Zelda has long and often been used as such for characters in books and films. Since 1986, Zelda has been a prime Nintendo name, as in the Legend of Zelda: Twilight Princess.
Zelda has been in baby name limbo for a number of years--off the Top 1000 since 1967--but there could be signs of a comeback with the interest in Z (and X) names.
For many, there will always be a strong association to Scott Fitzgerald's tortured wife, herself a writer and a symbol of the 1920's Jazz Age--also the subject of a recent novel. Trivia tidbit: Marilyn Monroe was known to sometimes use the pseudonym Zelda Zonk.