I’ll repeat what I wrote in comments: Mad Men is both a nostalgic fantasy and an anti-fantasy. It’s an old tradition of entertainment in general and Hollywood entertainment in particular: show us a decadent or somehow forbidden lifestyle, make it look exciting and glamorous and make us want it and envy it, and then step back and tell us that this lifestyle is immoral. You know how in Bibilical epics, the pagans are always more fun to watch than the Christians? Because the pagans in a movie like The Sign of the Cross have orgies, and take baths in asses’ milk and slink around in great outfits, while the Christians are so darn self-righteous and boring and pure. But these movies always end by telling us that Christianity is superior and paganism is what led to the fall of Rome, so they make an unimpeachable moral point while still exploiting the fact that we totally love orgies and debauchery.
That’s what Mad Men does. Of course part of the show’s appeal is in the appeal of Don Draper’s lifestyle, not to mention the way he literally traded in a crummy life for a brand-new life and identity. Sure, the show could tell us all the time, every second, that there’s nothing good about living the way men like Don live their lives, just as The Sopranos or any other gangster story could tell us all the time that criminals are always miserable. But it wouldn’t be true to life, for one thing, and for another thing, we would never watch a show where there was nothing appealing about the world it created. We just wouldn’t. Even the darkest, grittiest shows portray a world with some kind of appeal; we see the crime-ridden streets of a cop show and we feel, somewhere inside ourselves, that it’s kind of cool to move in a world where there’s so much tension and danger. Not that we’d want to, but we wouldn’t mind imagining ourselves in that world.
So Mad Men is an early ’60s nostalgia trip, a time capsule to an era of Rat Pack manly cool. And it’s also an anti-nostalgia show that tries to argue that things weren’t so great then, and some things haven’t changed enough since then. The nostalgia element and the anti-nostalgia element are not mutually exclusive. It’s the two sides of storytelling, which almost always boils down to a combination of entertainment with a moral message. (Going back to childhood, where we listen to fairy tales that combine adventure with a lesson we’re supposed to take from the adventure.) The nostalgia and the appeal of the world provide the entertainment value. The anti-nostalgia, the reminders that something isn’t right here, is the moral in which the entertainment is grounded. As I said in the comment, it’s like Seinfeld made us love and enjoy the wacky adventures of Jerry and co. while adhering to Larry David’s moralistic view of the universe (if you do bad things or even make a mistake, you will suffer horribly).