The Triforce of Wisdom was mentioned in the original Legend of Zelda game, where Princess Zelda divides it into eight pieces in order to hide it from Ganon. It is usually associated with Princess Zelda.
In The Wind Waker, Tetra the pirate carries a necklace made from one-half of the Triforce of Wisdom; the King of Hyrule carries the other half. When combined, Tetra's true identity is revealed to be Zelda.
In Ocarina of Time, to hide from Ganondorf, Zelda assumes the guise of Sheik. She carries the Triforce of Wisdom with her during her masquerade. This Triforce Piece is associated with the color blue and the goddess Nayru. Of the three parts, this Triforce is located in the lower left.
In Twilight Princess, after Zant exposes Midna to the Light Spirit Lanaryu's pure light in an attempt to kill her, Zelda uses The Triforce of Wisdom to save Midna's life. For whatever reason, this sacrificial act weakens Princess Zelda. It is not implicitly stated what happens to the Triforce after this, but it is possible that Midna carries it temporarily, as the power Zelda imbues in Midna allows Midna, from then on, to exist in Hyrule without reverting to the form of a mere shadow.