I have just finished the first season of Mad Men and despite it being quite slow to start, it has developed into an engrossing masterpiece. Very clever, very witty, well written, and simply outrageous in parts. I really didn't think I'd like it, even after about 4-5 episodes in I wasn't really hooked. But....
As a previous poster stated, whilst not much really "happens", it still really delivers. Whilst it has an essence and a style about it that harks back to the Sopranos, with some of the editing, and more recently with similarities to Boardwalk Empire in its style, it proves that you don't need guns and violence in abundance to make a really great TV show.
Peggy is definitely an intriguing character and its so strange to see her in this role (given the actresses previous performances in The West Wing as Zoe Bartlet).
Its certainly better than its modern day setting equivalent...Suits...(by a country mile in fact).