But there's more to it than that. For a portion of its audience I'm sure the allure of the show is all to do with a nostalgia for a Golden Age of sanctioned sexism and self-indulgence.
"... But the creators of Mad Men are in deadly earnest. It’s as if these forty- and thirty-somethings can’t quite believe how bad people were back then, and can’t resist the impulse to keep showing you.
This impulse might be worth indulging (briefly), but the problem with Mad Men is that it suffers from a hypocrisy of its own. As the camera glides over Joan’s gigantic bust and hourglass hips, as it languorously follows the swirls of cigarette smoke toward the ceiling, as the clinking of ice in the glass of someone’s midday Canadian Club is lovingly enhanced, you can’t help thinking that the creators of this show are indulging in a kind of dramatic having your cake and eating it, too: even as it invites us to be shocked by what it’s showing us (a scene people love to talk about is one in which a hugely pregnant Betty lights up a cigarette in a car), it keeps eroticizing what it’s showing us, too. For a drama (or book, or whatever) to invite an audience to feel superior to a less enlightened era even as it teases the regressive urges behind the behaviors associated with that era strikes me as the worst possible offense that can be committed in a creative work set in the past: it’s simultaneously contemptuous and pandering. Here, it cripples the show’s ability to tell us anything of real substance about the world it depicts."
— Daniel Mendelsohn, The New York Review of Books