What was great about DS9 is that there are these really long story-arcs so the stories are really well developed. The last story-arc was the final nine episodes and I was up all-night and into the morning watching them.
Gul Dukat (in my current avatar, played by the great Marc Alaimo) is easily my all-time favorite Star Trek villain. I don't want to give anything away, but as others have commented, he is a very complicated figure. A bad guy to be sure, but he would show some redeeming qualities at times. I liked how the character rationalized all of his actions, as any realistic person would. For example, he often said that the occupation of Bajor was for the good of the Bajorian people and that he was merely looking after them. To him, any war crime he committed was like a father watching over his children. The character likely believed that too. To me that is far more interesting and believable than some cardboard character who is just pure evil and is self-aware of how evil his actions are and gets-off on it.
From the wiki page:
Deep Space Nine co-executive producer Ronald D. Moore, "I don't think of him as being completely evil through and through ... He can be charming. He can be generous. He can do the right thing. All of that somehow makes his 'evil' actions all the more despicable, because we know that there was the potential in there for him to be a better person." Ultimately, despite the character's versatility, "Dukat is a bad guy. A very bad guy." Indeed, StarTrek.com describes him as "the most complex and fully developed villain in Star Trek history".