I am Sheik. Survivor of the Sheikahs...As I see you standing there holding the mythical Master Sword, you really do look like the legendary Hero of Time.

The Seventh Sage

Sheik is the most important character in the second half of the game, she serves as Link's guide to the land that Hyrule has become. It is she who sets the events of the game in motion, she who tells Link to search for the sages, and she who teaches him new songs to play on his magical Ocarina.

My brother, whom I occasionally dislike, told me once that "Sheik doesn't really do anything. She just sort of shows up and plays songs, then dissapears all ninja-like." Though it's true that we don't see Sheik fighting the good fight anywhere but the official soundtrack, it's assumed that she's been working for a very long time both fighting and avoiding the soldiers of Ganondorf's forces of evil. I mean, she saved Ruto. That took some doing, I'd imagine.

But the larger part I want to make here is that Sheik doesn't need an active role when she has such a strong mental one. By acting as a guide, she imparts wise words on Link, someone who surely needs them. Remember, kids, he's lost seven years of his life, and at no point did he seem particularly bright to begin with. Sheik's words give Link a purpose, which is as great a thing as anyone can do for anybody.

It is revealed at the end of the game that Sheik is infact, Zelda in disguise. Some people don't beieve that they're one in the same. But it's pretty clear they are. Zelda reveals herself and say "Sorry I had to meet you in disguise." Then she gets kidnapped. And she has no more smoke bombs to dissapear with. Tragic.