^ I think Connery may have been approached, but that's as far as it got. I don't think it was ever that close to a deal. Certainly, when you consider that he turned down THe Matrix and LOTR, it's unlikely that he would do ST.
I frequently see people on the BBS stating as fact that Connery was originally cast as Luther Sloan in DS9 but had to drop out. I'm sure that must be utter rubbish, as he hasn't done tv in years and is unlikely to agree to star in what was not one of the better known shows on tv at the time.