I think I'd have to agree with the consensus.
The Bajorans were fairly well defined in terms of their secular society and tragic past, but since their almost entirely undefined religion was clearly the single most important piece of their culture, they never achieved the same depth as other races.
The Klingons gained a great character in Martok and some interesting glimpses into Klingon ship life and Klingon marriage, but otherwise they served mainly the same purposes they always had on other shows. I do however absolutely love the fact that Ezri confronted Worf about the Empire's serious lack of intellectual honesty, and that he actually did something about it. A shame the show ended there, as I would love to have seen the new and improved Klingon Empire.
The Romulans were one of my favorites on DS9, allowing themselves to trust the Federation a little more through the alliance, and I loved seeing the Romulans and the Klingons trying to get along with each other. Unfortunately, their screen time was still relatively limited.
The Ferengi had some great moments, and some less great ones. They proved wonderful mirrors against Federation society, but I don't think they ever really achieved real depth as a society either.
The Cardassians got by far the most detailed attention, and some of the best characters in the entire show. I love how easy it is to believe the extremely unexpected character arcs. Garak turning out to be a badass spy raised in the Obsidian Order - Dukat scheming his way into command of all Cardassia. I thought it was amazing the way I hated Damar with such a fiery passion in season six, and yet actually felt myself rooting for him by the end of the show.
One other thing they dropped the ball on was why didn't Bajor support and even give refuge to the Maquis? The Maquis were freedom fighters fighting against the Cardassians for taking their lands, just like Bajorans. Would have made a great story line to see tensions between the Federation and Bajor, over the Federation's pursuit of the Maquis, and appearing to side with the Cardassians against their own people. Something like that should have been outrageous and appalling to every Bajoran, and Kira should have been far more critical of Sisko.
I would have loved to see that sort of story.