Cohesive? I don't know. For me, that season was all over the place. Klingons, Dominion, attempts at comedy (unsuccessful for the most part) and a continuation of Season 4s unfortunate trend of focusing many episodes on one main character (and guest stars) only. Starting at around this point, it sometimes felt as though you didn't even see some of the characters for several episodes.
It's a big canvas, with a lot of plot threads and characters, but yeah, I do think that season 5 is where it all comes together as a cohesive whole.
Take the Klingon plotline, which is sometimes erroneously characterized as irrelevant to the overall DS9 storyline. In actuality, the Klingon's crippling of Cardassia is what causes Dukat to seek alliance with the Dominion, thus the tension with the Klingons in season 4 and early season 5 leads directly to the events of In Purgatory's Shadow/By Inferno's Light.
Sisko's developing role as the Emissary and original mission to bring Bajor into the Federation cross paths with the looming conflict with the Dominion in Rapture.
The Maquis storyline is directly impacted by the Dominion's alliance with Cardassia as seen in the contrast between For the Uniform and Blaze of Glory. And of course Call to Arms is a beautiful climax to all of this. A lot of important character stuff comes to fruition in this season as well.
I do think, however, that season 5 only really stands out in this way once the whole saga is known, and that the quality is pretty similar episode-to-episode in season 5 and a bunch of other seasons.
In a sense, the season is all over the place, but that's because Deep Space Nine was all over the place. There were many different aspects to the show - Bajor, the Cardassians, Klingons, the Dominion, the Gamma Quadrant, traditional Trek-style stories, comedy. I think that the greatest strength of Season 5 was that it dealt with all of these aspects and did it very well and with an exceptional level of consistency. To me, it felt like the year that really summed up what Deep Space Nine was about and perfected the formula they'd been developing since Season 2. Seasons 6 and 7 were a bit different what with the dominance of the Dominion War over the show. It may well have been a necessary change to stop the series stagnating, but it didn't feel quite as satisfying to me as Season 5.
I like Season 3 almost as much, but most people don't seem to like that one to the same extent.