The most shocking thing about Deep Space Nine is that as a representative of the regular outsider-looking-at-the-human-condition archetype, Odo shattered every previous and successive model. It probably didn't hurt that he truly was an outsider. Need proof? Watch "A Man Alone"
A truly shocking episode for a new series, "A Man Alone" depicts Odo's predicament in horrifying fashion. While most fans of the series will know that Odo already had a fine relationship with Kira (which would develop into something even more fine) worked really well under the Cardassians, and maintained a quasi-adversarial relationship with Quark, it's perhaps worth reminding that he was incredibly gruff, especially in the beginning, and this didn't make things any easier for him. "A Man Alone" is a detective story, but it's also Odo being accused of being the culprit and becoming a pariah on the station, where many of the residents are as unhappy to be there as Sisko was in "Emissary" (and in fact, it's one of the first times Keiko O'Brien lets her husband knows she doesn't like it there, either).
Odo eventually finds a comfortable groove, but even moreso than Voyager's Doctor, still has a bumpy ride toward theoretical happiness, certainly once he discovers where he's really from. Unlike everyone else (Data learns in the first season of Next Generation exactly who his maker was) in franchise lore, Odo's origins are a mystery that intrigues him throughout the early years of his show. "A Man Alone" is shocking, especially for Star Trek, in how it portrays him, a deeply troubled individual who finds it difficult to find allies, and still more shocking, coming so soon after the debut of the series. But this is Deep Space Nine. Things will eventually be exactly like this all the time.
It's not hard to see why the creators quickly backed off this kind of alienating storytelling, unsure if they really want to go this far after seeing where it could go. I think in many ways fan reaction to the series even today is defined by the flux of the first season. If you still can't figure out where you stand with this show, then "A Man Alone" may be entirely revelatory for you today.
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Memory Alpha summary.