Non corporeal entities which created and occupy the Bajoran Wormhole. The Prophets are the basis for the religion of the Bajoran people, who regard the Wormhole as being their Celestial Temple.
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The Prophets are primarily known to the Bajorans through the nine Orbs which they had sent out of the wormhole over the last ten thousand years. Each Orb had a different name and function within the Bajoran religion. Eight of the nine were stolen by the Cardassians during the Occupation,  with only the Orb of Prophecy and Change remaining hidden on Bajor. The Orb gained its name after the Bajoran Trakor wrote various prophecies after consulting it.  In 2369 Benjamin Sisko saw the Orb and had an Orb Experience - the name given to the powerful vision those who see Orbs often experience. He brought the Orb back to Deep Space Nine with him, and by studying records of the Orbs was able to determine the location of the Celestial Temple. Inside, Sisko contacted the Prophets - alien beings who exist outside of linear time. The Prophets showed great distaste for corporeal life, and most especially for those which exist within linear time as experienced outside the wormhole. Sisko was able to demonstrate the value of a linear existence, and convinced the Prophets to allow linear beings to travel through the wormhole. 
In 2374 the Orb of Prophecy resided in a shrine on the Promenade.
Other notable Orbs include the Orb of Time, which was returned to the Bajorans in 2373. Whilst on its way home the Orb was used by the Klingon Arne Darvin to throw the Defiant back over a century in time so that he could assassinate Captain James Kirk. Once the attempt had been thwarted Kira Nerys was able to use the same Orb to return the Defiant to the present successfully.  Kira again used this Orb in 2374 in order to travel back in time to the occupation and meet her mother. 
The Orb of Wisdom was obtained from the Cardassians by Grand Nagus Zek in 2371. Zek intended to use the Orb to predict the future and so profit from it, but instead the Bajoran Prophets altered Zeks personality to eliminate his greed. Quark was ultimately able to convince the Prophets to return Zek to normal.  In 2373 Kai Winn consulted the Orb of Wisdom in an attempt to determine whether Bajor should sign a non aggression pact with the Dominion, but was unsuccessful. 
The Orb of Contemplation was also present on Deep Space Nine in 2374, during the Bajoran gratitude festival. A Pah-wraith occupying the body of Gul Dukat attacked this Orb, causing the Prophets to be sealed into the Wormhole and all Orbs to go dark.  Several months later Captain Sisko had a vision directing him to the planet Tyree where he found the tenth and previously unknown Orb of the Emissary, which he used to reopen the wormhole. 
The Prophets have described themselves as being 'of Bajor', and have shown themselves to be at least partially concerned with the affairs of the Bajorans. In 2374 they caused a large fleet of Dominion reinforcements travelling through the wormhole to disappear, saving the Allies from defeat.  They have generally been reluctant to contact others directly, but in 2374 a Prophet came to Deep Space Nine and possessed the body of Major Kira in order to do battle with a Pah-wraith which had occupied Jake Sisko. The battle was prevented by Kai Winn, who lacked faith that the Prophets would be victorious. 
Siskos discovery of the wormhole led to his being given the title of "Emissary to the Prophets" by the Bajorans.  He disliked this title at first, but eventually came to accept it.  The Prophets interest in him was finally explained in 2375, when he discovered that his mother had been possessed by a Prophet before he was conceived. Sisko had been born with the express purpose of assisting the Prophets in their battle against the Pah-wraiths, and in 2375 he fulfilled this destiny when he battled a Pah-wraith occupying the body of Gul Dukat. After a brief battle Sisko was able to seal Dukat into the Fire Caves of Bajor forever. With his destiny accomplished, Sisko transcended his physical form and joined the Prophets in the Celestial Temple.