'Waltz' is my favourite episode of DS9. It's intense in a way I didn't know Star Trek knew how to be, and is really able to cash in on the character of Dukat in a way I didn't know Star Trek knew how to do. The episode wouldn't work without the 130 episodes before it, and future episodes wouldn't work without this one. Focussing around Dukat in particular gave the story an edge – he's been in 20% of the show's episodes at this point, so we know him and the time dedicated to him feels earned. (Compare to, say, Gul Madred in TNG's 'Chain of Command', whose character we hadn't seen before and wouldn't see again, so a lot of time is wasted just setting up the relationship between him and Picard instead of using it.)
'Waltz' also fascinates me because of a little tidbit in the DS9 companion / memory alpha about fan response. So the story goes, DS9 had its online fandom and that online fandom loved Dukat, and the writers (correctly in my opinion) saw this as a problem that needed fixing. 'Waltz' unambiguously reasserts Dukat as definitely racist and definitely out to do some fascisms, but, crucially, it reasserts that he's definitely wrong. And, so the story goes, some folks took issue with this new turn of events, going as far as accusing Sisko of being unfair to Dukat and the writers of lacking nuance.
On first read, I was really surprised that people watching Star Trek were able to so utterly miss the point about how there is no "right" way to do a fascism. But now I've watched TNG, which spent seven years talking about the importance of knowing your place and the chain of command and following the rules. The Cardassian government's political and social structures are very similar to Starfleet's (by design – having failed with the Ferengi, Romulans, and Borg, TNG writers designed the new Cardassian bad guys by just imagining a more sinister Starfleet) so it's easy to apply the same ideas of 'following the rules' to Dukat. Picard followed the rules when he tried to kidnap an entire community of Native Americans, and that was fine, so surely Dukat is right to find as humane a way as possible to occupy Bajor. It requires a commitment to an especially useless brand of moral relativism, but you can squint just enough to see Dukat as a good fascist actually.
There's all this chatter about how great it is that DS9 embraces the "shades of grey", but I think too much chatter ignores that that philosophy isn't always good. DS9 was good for embracing the reality that a lot of real world situations are hard and there normally isn't a 'right' answer and even if there is it's not like you're going to know if you got it right. DS9 was bad for extending the philosophy to ubergigafascists who are wrong, and 'Waltz' was a corrective move for this. And I think that's one of the coolest things this show did.