Fire Arrow
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Ocarina of Time
The Fire Arrow is an upgrade to Link's bow arsenal. It causes the spot it hits to burst into flame. This attribute makes it quite useful for lighting torches, melting ice, dealing significant damage to enemies and etc. They are particularly useful when there are torches that Din's Fire would be useless for because they were too far way. You can get them by going to Lake Hylia, standing in front of a stone with writing on it at the end of the bridges over the lake and shooting an arrow at the sun it will drop down and you will obtain the fire arrows.
Majora's Mask
They are more useful in Majora's Mask than in their first game, Ocarina of Time, particularly against the boss Goht. They're acquired differently in each game: In Ocarina of Time they are a completely optional item, whereas gained by shooting an arrow at the sun, they are found in the second dungeon in Majora's Mask.
The Wind Waker
You get this in The Wind Waker at the Mother and Child Isles after receiving the Ballad of the Gales. Just warp and you've got it.
NOTE: To get the Fire Arrows you must beat the Forsaken Fortress a second time for the 'Doors of your destiny to swing open'.
Twilight Princess
The Fire Arrows are not obtained in the normal game flow of Twilight Princess however item number 53 is named "Fire Arrow" meaning that they were originally meant to be obtainable. The Fire Arrows are still used but by enemies, Bulblin Archers use them against Link, which can cause problems for his wooden shields.