KHG was actually my first Star Trek game, I played the demo version first. I did not like it very much though.
On the other hand, Star Trek Armada I ("not the bloody II") had me completely immersed, especially as I played it roghly at the same time I finished watching DS9 season 7 for the first time. I was almost like a continuation of that story.
I agree with Elite Force feeling like later seasons of Voyager and actually I liked it for that reason...they seem to have captured the overall spirit right - not so much again with "the bloody II").
I have played DS9 The Fallen a lot as well, and remember liking it very much, but tried to replay it some years ago and it felt really dated, didn't age quite well.
My ranking would be (from best to worst):
Elite Force I
DS9 The Fallen
Armada II (mostly due to excellent Babylon 5 mod though)
Elite Force II
all the rest