Just a few of my top peeves:
I really disliked the reveal that Sisko's mother was possessed by the prophets to bring about his birth... ugh.
I did not like the Dominion War going on too long and pretty much ruining a series I had loved from the very start.
Killing off Jadzia. Ezri was fine, but I still think they could've allowed Terry to leave without killing off Jadzia. I know Behr's argument was "what could be the justification of her leaving Worf and the station at a time of war?" or something like that - I can think of plenty of good reasons precisely because of the war! Covert mission, section 31, or even perhaps a previous host had expert knowledge of XYZ and Dax needed to leave for a while.
Poor treatment of Alexander Rozhenko. Character assassination at its worst. Alexander was in a great place at the end of TNG, so rather than build on that, DS9 just decided to ruin the character by making him comic relief for a couple of episodes? Um, yeah, thanks guys.
Most of my problems stem from season 6-7. DS9 hit a high point in season 4-5 and then dropped into mediocrity for most of its latter years. Yes, I know I'm in the minority with that one, but there it is. Season 6-7 had some good episodes, but far too much disappointment for my liking.