gazomg - yes - I liked the exploration of religion too. That seemed to be in the air during that time period - voyager, too, spent a fair bit of time exploring religiosity, but mostly with a more new-agey bent (i.e. chakotay and his animal guides etc).
The depth given to the bajoran religion was quite interesting to me, though. And i really enjoyed the tension between science and religion that got played out through benjamin's character. He essentially embodied that tension in his reluctant role as emissary. I like it when people challenge the simplistic notion that the pursuit of science must coincide with strong atheism. Fortunately, people are often much more complicated than that! (No offense meant to strong atheists...)
(My only criticism of religion as depicted in DS9 is the direction they took to the god stories near the conclusion of the series - the whole exorcism-like body-snatching complete with glowing eyes still makes me cringe)