Sisko was the most fully developed captain on any of the shows. He was allowed to be imperfect and grow over time. In the DS9 pilot, he's just lost his wife to the Borg and is now an angry, grieving single parent who doesn't particularly want the job that's just been thrust upon him and wants to be a religious icon even less. Seven years later, he's managed to work through his demons to the point where his son is now a well rounded adult, he has a new wife and a new child on the way, is a celebrated war hero and has accepted his role in Bajors' religion, and then quite literally has to fling himself into the fire in order to defeat Dukat who has become the personification of evil.
Best episode for Sisko would probably be "In The Pale Moonlight", precisely because there is no way in hell any of the other captains would ever visit as dark and unethical a place as he is forced to, hence the line in the show "You might as well forget the whole enterprise."
http://uk.youtube.com/watch?v=K-YyL7X4CWw
He's repeating himself toward the end (" I can live with it...") as though trying to convince himself of what he's saying, but can't quite manage it, even though his personal sacrifice will potentially save millions.