To me, DS9 had the market cornered on great, nuanced major villains. You had:
, who truly believed she was doing what was right for her people, even as she fed her own vanity.
, who considered himself a good, though flawed, man, even as he took bajoran prisoners to his bed, and manipulated them to get what he wanted.
The Female Changeling
, who had no love at all for the solids, but dearly loved her own people and would do anything to protect them, and even Odo, who was a rebellious child in that regard.