No spoilers, that I can tell.
This particular post started out as a comment to Historiann's post "Mad men: cutting-edge TV, or an excuse to let racism and sexism run free?" Tom and Lorenzo also have a wonderful post about this show, but this post is a response to Historiann and the comments there.
I confess to loving this show. I didn't watch it at all during the first season because, as some of Historiann mentions, I thought "oh no, just an excuse to revel in white guy sexism and privilege." Then, I got sucked into the first season marathon a few weeks ago. The plot moves slow and the focus is on character development, which is complicated and, I think, appropriate to the characters in the world that the writers have created.
I call it the world that the writers have created rather than to the period for two reasons. First, I don't specialize in mid-20th century history, nor in material culture, so I'm not in a position to judge the historical accuracy (although I would love if they footnoted the show). Second, this show is set in a historical period, but it is ultimately a fictional world.
I approach historical fiction with the understanding that the writers are not so much trying to create a historically accurate world -- although they must adhere to certain rules of history much as science fiction writers must adhere to rules of science -- as they are trying to explore a contemporary subject. Mad Men explores white, middle class gender roles and the tension between facade and authenticity. The early 1960s setting makes the subject seem remote enough for viewers to accept the blatant sexism (and anti-Semitism, they have only barely touched on racism) of the male characters, yet near enough to make the world more recognizable than, say, the 1920s or the nineteenth century. Also, sensitive viewers (or those who can do math) will realize that many of the younger characters are the same people who are now in charge today. The young Peters of the show are now the Old Farts at work.
The historical setting also contributes to the writers' ability to make the characters interesting and complex. Completely likable characters are boring and produce unoriginal stories, as do the "love to hate" characters. By placing the characters in the past, when ugly character traits can be written off by the audience as "of that time," the writers can then create characters who behave badly without demonizing those characters. With all of the characters having unlikeable streaks, you end up becoming more interested in what they will do next and how they will handle a particular situation rather than if they will have happy endings.
The female characters are particularly intriguing because of the limits that have been placed on them socially, sexually, and professionally. The choices that they make within those confines are different, often set them at odds with one another, and aren't always what you might want them to make, especially if you are a feminist.
The character Peggy interests me most for this reason because she has the most potential to be a feminist character. She ends up in a precarious position between the "boys' club" of the advertising professionals, to which she does not have fully admission, and the "girls club" of the administrative assistants, to which she no longer belongs. She is alone and vulnerable, but doesn't always act sympathetically, especially toward other women. I want to see if she becomes nastier, if she adopts the sexism of the men, if she becomes confident enough not to be snotty to the secretaries, if she has a show down with the office manager (although that would be too grandiose for this show). Then, of course, there is her dirty little secret!
Ultimately, many of the scenarios that occur in this show -- the power games, the isolation, the use of sex as a tool to isolate or to gain power, the sexual harassment -- are still around today; but if you set them in a contemporary office, no one would believe them. The audience would wonder why the women didn't go to HR and file a harassment complaint. They would wonder why the wife didn't just dump her cheating husband or sue her doctor for breach of doctor/patient privilege, they would wonder why the characters did not act the way we would want characters to react today, even if actual people today don't react that way at all.