I may be alone in this opinion but I think of her as a truly tragic character (while being a royal pain in the behind)...
One of my favourite scenes is where she speaks to Kira, reaching out for some kind of redemption; as soon as Kira suggests that perhaps the right thing would be for Winn to step down, you see the shutters come down and at that moment you have the key to the character.
Her devotion is sincere but it is always conditional: I worship you, what do I get in return?
Having convinced herself she was spared her life to lead the Bajoran people to a new golden age, thus neatly conflating her spiritual yearnings with her wordly ambitions, she could never accept that she isn't the "chosen one". She's so sold on the idea that she's somehow worthy of a higher fate, the very notion that she might better serve in a less exalted capacity is anathema to her.
She is incapable of true humility and she could never countenance the fact that the fault lies with herself - another thing in common with Dukat.
She yearns to hear the Prophets' voice but is really only prepared for them to tell her what she wants to hear. Her heart isn't open to the message they are sending her by their silence. Ask yourself why we're not talking to you.
Her tragedy for me lies in the fact that her desire for goodness is real, but is consistently trumped by her desire for power. With her soul on the line, she still won't give it up, or even see why she should.
When her gods fall silent, she almost comes to the crucial realization. When she speaks to Kira, she is brought to the very brink of redemption.
Then it comes down to her leaping over her own shadow for once which she cannot do, and she loses to the worse part of herself.
I couldn't stand her, which was the entire point, but I can feel sorry for her in that moment. Very subtly done, very poignant.