I actually think Worf's best material is split pretty evenly between TNG and DS9. On TNG he stood out more because he was the only character that really struggled with his identity, was a misfit, was often a bit of an egomaniac and therefore a jerk to other characters, etc. Worf was one of my favorite characters on TNG. On DS9 he's pretty low on the list. I also think the Klingon material was getting a little stale on DS9, while it was originally new and fun on TNG. This is something that is lost, of course, during re-watches of the two shows.
That said, Worf fits in very well on DS9 (perhaps almost too well). Initially in season 4, the writers went with the idea that Worf would feel out of place on the station, but this is quickly abandoned because it's obviously untrue: he fits in better there than on the Enterprise, all things considered. For example, at a certain point in season 4, about half the cast is some kind of exile or outcast: Worf from the Klingon empire, Garak and Dukat from Cardassia, Odo from the Dominion, Quark from mainstream Ferengi culture, etc.
After getting showcased in season 4, Worf becomes more of a supporting player on DS9, which I'm personally grateful for. We can compare the way this was handled on DS9 with what happened on Voyager with Seven, who was also brought onboard in the middle of the show to boost ratings: Seven takes over that show, whereas Worf is integrated quite seamlessly into the cast of characters, with Sisko and Kira basically remaining the series' leads in the later seasons to the extent that it is even possible to identify lead characters on what is truly an ensemble show.
On a side note, DS9 does allow Worf to actually kick some ass for a change, rather than always experiencing the "Worf effect," i.e. the tendency for the ostensibly proficient fighter to be regularly defeated as proof of the toughness of the opponent of the week.
