Star Trek: Deep Space Nine takes a drastic turn with the second season finale "The Jem'Hadar". While previous episodes are either self-contained or part of a brief or occasionally-visited Story Arc, this episode introduces a new antagonist, blows up a Galaxy-class starship (just like the Enterprise-D) and kicks off a Story Arc which grows increasingly important over the rest of the series.
And the Wham quotient is only amplified with the season three opener "The Search, Part I", which ends on a cliffhanger with Sisko, Dax, O'Brien, and Bashir's seeming death or capture, the brand new Defiant seemingly destroyed, and Odo finally meeting his people.
Which is followed by "The Search, Part 2", in which it is revealed that Odo's people are the rulers of the Dominion.
A particularly notable example is the 2-part episode "Improbable Cause"/"The Die Is Cast", with a "Holy Shit!" Quotient that's off the charts: Garak blew up his own shop, Tain is working with the Romulans to destroy the Founders, Garak is willing to forget that Tain tried to kill him and rejoin the Obsidian Order, Tain orders Garak to torture Odo and he DOES, Odo admits he wants to rejoin the Founders, Garak then protects Odo's secret and lies to Tain's face about it, the leader of the Tal Shiar is actually a Founder and the entire plot was a means to eliminate both the Obsidian Order and the Tal Shiar in one fell swoop... and the Founders' plan succeeds... whew.
Season 4's "The Way of the Warrior" two-parter brings Worf onto the station and sees the Federation/Klingon alliance come to an end.
Season 5's "In Purgatory's Shadow"/"By Inferno's Light" two-parter, which acts as something of a follow-up to the Season 3 arc. Tain is alive, is being held captive in a Dominion prison and is revealed to be Garak's father. Oh, and one of Tain's cellmates turns out to be Bashir, who was replaced by a Changeling weeks earlier. Not only that, but Cardassia joins the Dominion - giving them a foothold in the Alpha Quadrant. The Federation and the Klingon Empire reinstate their peace treaty to defend against the new threat.
This is followed by "Doctor Bashir, I Presume?" which is a wham episode for the good doctor. The revelation that he was genetically enhanced as a child and has been hiding it all these years pretty much rewrites his entire character, explaining a lot about what we've seen so far and having major ramifications for his future character arcs.
"Call To Arms" - The Season 5 finale: the Dominion attack Deep Space Nine... and take it, returning Dukat to command; the Wormhole is mined, cutting off access to the Gamma quadrant; and Jake Sisko stays behind on the Dominion-occupied station.
"Inquisition." Section 31. The fact that The Federation has its own equivalent of the Tal Shiar or the Obsidian Order that's been operating in secret for the past 200 years.
"In the Pale Moonlight" is one giant Wham Episode. It starts with Sisko trying to come to terms with something disastrous he's done and it initially looks like it's about how his meddling brought the Romulans into the war on the Dominion's side.
He tried to bring the Romulans into the war, and enlisted Garak's help to try and locate evidence that the Dominion is planning to betray the Romulans.
But there isn't any evidence, so they decide to forge some.
The Romulans see through it and vow to ruin Sisko, who accepts it's all over for him and the Federation.
Then the ship blows up, a new team of Romulans discover the forged evidence on board but can't tell it's a forgery (because the original defects could have been caused by the explosion) and conclude the Dominion blew up the ship to prevent the evidence reaching Romulus, and enter the war on the Federation's side.
And that's when Sisko realizes that Garak did it, that this was Garak'splan all along, and now he has to live with the consequences of forgery, arson and murder. Dragging a neutral power into war, causing the death of countless Romulans who would have otherwise lived. Biggest wham moment of them all? He realizes he can live with it and he would do it again.
Jadzia's death. While it was pretty much well known among fans that the actress was leaving the show and they were killing the character off, the brutality of an outright on-screen murder of a main character while praying at a temple altar was jarring.
The manner of her death is also quite jarring: Dukat suddenly appears behind her and, using the power of a Pah-wraith, fatally wounds her on the spot, not completely unlike Tasha Yar's death in Star Trek: The Next Generation. It is this moment that solidifies Dukat going from a mere overzealous Cardassian soldier to a galactic threat!
To top it off, Sisko, sorrowful over Jadzia's death and his failures as both the Emissary and a Starfleet officer, takes his leave of Deep Space Nine, taking his baseball with him; a gesture that suggests he may not ever come back...