It's great to see a live post on this subject!! Here's my take with some episode references.
Jadzia Dax -- 300+ year old wisdom she added to plots... Let He Who Is Without Sin...(5x07)
Is one of my favorites of hers.
Kira Nerys -- Tough, soft, but what I loved most is how she moved around the scenes. You could tell she was a dancer before DS9. Wrongs Darker Than Death or Night (6x17)
is one of my favorites of hers.
Quark -- For obvious reasons. His consistency in character with slight moments of "not Quark" windows deep into his psych (lol). He's my Ferengi definition. The Magnificent Ferengi (6x10)
has to be my favorite Quarkisode if not Little Green Men (4x08)
. Iggy Pop as a Vorta = win! Also, it's great to see Armin Shimerman out of makeup and in a recent Castle episode The Final Frontier (5x06)
Julian Bashir -- Agree with earlier posts, talk about transistion from young douche-bag to compassionate doctor-like getter of the girl (Ezri Dax). Our Man Bashir (4x10)
is one of my most rewatched DS9 episodes ever. It's very entertaining. Also, Extreme Measures (7x23)
Benjamin Sisko -- I liked the sometimes frustrated pace of his dialogues. Personally, his and Jake's connection reminded me my connection with my pops. Albeit that connection was a TV version with way less fart jokes (seriously? does anyone fart in space? How is Seth MacFarlane going to revamp the series without introducing fart jokes? I don't know...). Even though he was out of character (yet strangely within), I really enjoyed alternate Sisko in Crossover (2x23)
Honorable Mentions : Garak, SLOAN!, Gul Dukat, Miles O'brien, Vedek Bareil Antos, Weyoun, and those 4 eccentric genetically enhanced humans associated with Dr. Bashir.