The series premiere, "Emissary", had a pretty cool-looking Borg battle against the Starfleet ships at Wolf 359. That one was great.
On the other hand, the final epic battle in "What You Leave Behind" with all of the Federation and Dominion ships all on screen at one time made it the mother of all DS9 space battles, hands down.
The last "mirror universe" episode impressed the heck out of me, especially when I read that all those dives and swoops "Defiant" made through Terek Nor were model work.
"Way of the Warrior" (I believe) where we get to see DS9's upgraded weaponry for the first time against the Klingons. Oh ... my ... God ... ! My jaw dropped the first time that episode was aired.
Yeah, Way of the Warrior was a good one; there were severeal really subtle ones I liked as well.
DS9 to me, is everything that good trek is, there were very few "utter crap" episodes, and it managed to be much more consistent then anything else in the trek fold
Nothing sticks out in my mind like the battle scenes from the already mentioned Way of the Warrior. The first time seeing that was just kick-ass cool. On a smaller level, the battle between the Defiant and the Lakota in Paradise Lost has always been one of my favorites, because it highlights what makes the Defiant such a great fighting ship.
One of my all time favorite effects shots is in the background of "Rocks and Shoals"-- where the burning Jem H'adar battle cruiser that Sisko piloted into Cardassian space was sinking into the ocean of the planet where they crash landed. That shot just takes my breath away every time I see it.
Another one of my semi favorite battle scenes is at the start of season 7 the episode Shadows and Symbols where Martok, Worf, O'brian, bashir and quark go on the klingon bird of prey to blow up the dominion ship yards by igniting a part of the nearby sun.