Season 6 has an episode titled "Far Beyond the Stars" in which Sisko has a delusion (or a vision from the Prophets if you prefer) of a black sci-fi writer in the 50's named Benny, who goes insane while writing stories about a place called DS9.
At the end of the episode, Sisko wonders if Bennie might be somewhere dreaming of him, just as he dreamed of Bennie, and the episode never really answers the question of whether or not Bennie is real. Certainly Sisko is, within the larger Trek universe.
We also know that Sisko is the chosen one of an immortal, non-linear race capable of existing at all points in time simultaneously.
Adding to the weirdness going on here, all the characters are played by actors from DS9, but they're all human.
And if you look close, the story titles on the sci-fi magazine covers in the show are Original Trek episode titles.
I just got a chill.