While DS9 is still on the agenda. My favourite Star Trek character has to be Weyoun (all of them). He felt the most 'alien' of all characters but remained surprisingly complex, utterly commited to his own cause and yet capable of some sincerely good comedic moments to complement the serious/villanous parts.
Still laugh thinking about the scene when he is looking at a painting, it went something along these lines....
Weyoun, "So, this is a painting, by Gul Dukat's daughter........?"
A.N.Other, "Yes....."
Weyoun, "Is it any.................. good?"
Gul Dukat was another superb character, a great villain.