Definitely Cardassians. They had some very complex characters and are my favorite alien race in all of Star Trek. Even the minor Cardassian characters were usually interesting.
I was never too fond of Bajorans. Sort of meh about the Trill, too, even though they did have some good stuff here and there. There were good Klingon eps but I dunno, just too much of the same honor/dishonor stuff. I really liked Grillka, though.
The Ferengi had some great moments too.
As for the Jem'hadar, I liked them at first when they were still very mysterious, they'd just show up and kick ten kinds of butt, then disappear. Once they started showing up all the time and talking a lot, I got sick of them quickly, they were kinda dopey. For me, they didn't seem nearly as threatening, the further along in the series you got. I liked the Vorta though, especially Weyoun.