DS9 is also my favorite of the Treks, with ENT being my least favorite. I hear people complain that the show is only in one setting or "everything takes place on the space station", which clearly is not the case. DS9 told a larger variety of stories than any of the other shows, and there was always something going on someplace other than the station. DS9 also did a great job of planting seeds that would sprout in later seasons. That's one thing I love about the writing on the show. There were very good at letting a plot thread simmer for a while before developing it more thoroughly in later seasons. It's like reading a giant, epic novel that you are anxious to see wrapped up but bummed to see it end.
I also appreciated the fact that some episodes would go on without a Starfleet officer/Fed citizen or even a human as the main characters in certain plots.
I read somewhere on this forum where someone described DS9 as Trek's "Alpha Quadrant Showcase". This describes it nicely.