Honest advice? Don't go into DS9 expecting a shining example of serialised television, it's a semi-serialised patchwork of mostly good ideas and some bad ones. For a Star Trek series, it is far and away the best at continuity and story arcs, major events do matter in future episodes, but because the show is grounded in Star Trek's usual episodic style, it sometimes takes a while for plots to be followed up on. A non-spoilery example is the story of a recurring character that betrays Sisko in one episode, but that story isn't followed up at all for a whole year, at which point we're expected to believe that Sisko has been obsessing about that betrayal all that time. Compared to modern serialised shows, DS9 comes across as somewhat amateurish. The show's strength is in that the writers were really good at taking loose plot and character threads and tying them together with unrelated threads to forge a grander narrative. There are unexpected turns on the journey, but they all (well, most of them) make sense and add something to the show's core.
Most importantly of all, DS9 makes the Star Trek universe feel alive, it's more than just a random jumble of planets, anomalies, and adventurers. Deep Space Nine is a place where people live, they have jobs, they learn, they grow, they have fun, and they struggle. All the major races get developed, both as governments and individuals. This framework allows the characters to flourish and develop in interesting ways, including complete transformations for some. There are characters in What You Leave Behind that you wouldn't recognise from watching Emissary, but you don't have trouble believing those transformations because you witness the characters being shaped by the events they're involved in.
That is why us Niners love the show.
Excellent post, I completely agree. While DS9 is obviously not a pre-planned arc show in the way Babylon 5 was, the writers did a great job of looking at past episodes and tying things together so it looked like a cohesive narrative. The X-Files tried to do the same thing with it's mythology and completely fell on it's arse as the writers would always forget stuff so nothing fit together. Making it up as you go along is a perfectly fine way of writing a show, as long as the writers always keep in mind past continuity points.
About S1, the brushing aside of the wormhole/Prophets plotline is one of the weirdest things in DS9. It's discovered in Emissary and treated as some great, mysterious miracle. By the next episode, and for the rest of the season, it's treated as mundane as we would treat a toaster.