The Bajorans, from their first introduction in “Ensign Ro” to basically their final appearance in the DS9 finale, were shown to be much more than their religion.
Throughout their development, they grew probably more than any species shown. At first, in “Ensign Ro,” they’re shown to be ignored pariah refugees no one wants to deal with, and they end up becoming a strong, self-assured people by the end—they even face down the Romulan Empire in “Shadows and Symbols” and win.
Their development tracked them from a broken species recovering from a terrible planet-wide occupation through their emergence as an almost UFP member planet (stopped only by Sisko’s insistence). Not only is that quite a ride, it’s also never been shown before.
Their past was explored in depth, from the occupation, how they dealt with it as a people and as individuals, the consequences of those actions both collective and individual, the aftermath of the occupation and their roles in it, the re-building of a society, a civil war, political machinations, and so on. Their society, culture, and people were given more depth than probably any other species shown on-screen.
What’s also interesting about them, and adds to their depth, is their religion, though they were shown to be more than that. While there have been other spiritual species shown (Vulcans, Klingons, and Chakotay for example), none have been shown to be overtly religious. Considering that Roddenberry was absolutely certain of only three things in Trek—there was no money, warp nacelles only came in pairs, and there was zero religion—that’s no small feat.
Other species have been given good treatments, such as the Klingons, but none have been as real well-rounded or deeply developed as the Bajorans.