It is utterly, confoundingly, brilliantly done. To paraphrase Virginia Woolf on - of all the oddest things when talking about 1960s men in Manhattan - Jane Austen, of all the great drama series, it seems the most difficult to catch in the act of greatness.
I think Mad Men is deceptively advanced drama. As with Life on Mars, I expected it to be shallower and more limited than it turned out to be. Like Six Feet Under or Deadwood it finesses you, matching your unfolding understanding of events with counter-evidence at just the right time to keep you thinking. Just as you think you know what you think, a scene unfolds which proves you are all wrong.
Like SF, a good historical drama lets you examine the furniture of modern thought. It makes me think about the difference between privilege that is self-conscious and privilege which is unexamined. It makes me think about how all the necessary and appropriate carefulness we undertake nowadays (let's say avoiding drinking and driving, caring about pollution) add inertia to all our activity. What did it feel like to be innocent of the need to be careful?
I suppose if I had to boil it down it would be that they are more innocently brutal than we are today, and hence more vigorous and destructive.