You know, they've got the whole DS9 series out on DVD now. Now costwise, downloading is probably better, but there is that whole coolness in having legit, original copies of all of the eps. I in fact, am working on getting the series myself by taping it off TV, but that's kind of a hobby. My favorite episode was the season 4 2h premiere when Worf joins the cast. Its almost like a movie compared to the rest of the series. I managed to find it in an original VHS copy, with all the bits that were cut out so it could be made into 2 eps for syndication. They've got to make time for "Last time on DS9" as well as a second set of intro and ending credits.
Later!