The first three seasons of the best show on American television are on sale for $10 apiece on DVD and Blu-Ray. You should not hesitate to buy them.
Mad Men belongs in the same dramatic tier as The Wire, Deadwood, and The Sopranos - the three Big HBO Shows, which aired simultaneously in the first part of our terrible decade. Mad Men is run by Sopranos alum Matthew Weiner; indeed the spec pilot to the series apparently helped win him the Sopranos job. Unusually, Weiner oversees a writing staff consisting almost entirely of women (including former Buffy showrunner Marti Noxon).
The XX-heavy writing room is a huge part of Mad Men's success; indeed, one of the two major distinguishing characteristics of the show (beyond its pornographically slick design/aesthetic and obsessive period detail) is its complex treatment of the inner and outer lives of women. The show's main character is semi-principled adman Don Draper - a once-in-a-lifetime role for the versatile Jon Hamm - but Draper rarely gets the last word; we know that his generation's fate is to be left behind by the youth revolt of the mid- and late-60's, embodied on the show by Peggy Olson (Elisabeth Moss, turning into a star before our eyes) and Pete Campbell (Vince! Kartheiser! of! Angel!). Mad Men expertly balances a decade-long generational narrative about the traumatic journey from Eisenhower to Nixon with a closely-observed character study of Olson, Draper, and Campbell - each transforming into something unexpected, none of them following a straight characterological line. There are very few arguments masquerading as characters on Mad Men.
That's its other key distinguishing feature, its great triumph: the world of Mad Men's fourth season only faintly resembles its initial (Season One) conditions. Unlike The Sopranos, a study in selfish resistance to change, and The Wire, which focused on institutional inflexibility and incompetence, Mad Men gives us characters, organizations, and moral codes that change little by little, week by week. The story of Don and Betty Draper differs from the operatic (though no less believable) saga of Tony and Carmela Soprano in that Don and Betty actually transform in the ways Tony and Carmela only dream of. (SPOILER: Just as The Sopranos included TV's most detailed and complex marriage, Weiner's show centers on the most nuanced, sustained examination of marital collapse and divorce in the history of the medium.)
Weiner's ability to let the nature of his story change with its setting (Season One begins in March 1960; Season Four ends in October 1965) is testament to his writerly seriousness - but it also speaks to his writing staff's concern with the lurching progress (regress? collapse?) of the American social contract in those times. Mad Men deals only elliptically with the Civil Rights struggle, but the women's movement is front and center at all times - even in the lives of women who resist or are not yet transformed by the social struggles of The Sixties. That variety of depiction is almost unheard of on TV. For all The Sopranos' almost prurient interest in the archaic social structure of the Mob, there weren't many female characters with real freedom of movement (Charmaine Bucco, Angie Bompansiero, and Rosalie Aprile spring to mind, not without caveats) to provide contrast, so the proceedings had a certain airlessness at times. There were no winners on that show, only illustrations.
Mad Men, meanwhile, follows women as fantastically varied as 'dowdy' ingenue copywriter Peggy, icy Betty, young Sally Draper(!), empress Joan with her hidden talents, Dr Miller with her lack of child-empathy, the tentatively professional Rachel Menken, Peggy's boho lesbian friend Joyce, the saintly beatnik Anna Draper, and Anna's college-age niece Stephanie: some of them are gonna be just fine in the show's future, and Weiner and his writers expertly avoid didacticism and moralizing. They just keep on living. Mad Men doesn't exist to make a point - or rather, it makes so many (sometimes mutually contradictory) points, on such a wide range of social topics, that it feels more like mere life than its father-series.
In that regard, Mad Men most closely resembles not The Sopranos but Deadwood, the most interesting, eccentric, and (ultimately, for business/logistical reasons) unsatisfying of the great HBO shows. David Milch's transcendent 19th-century soap opera made institutional and social points by depicting characters in their full humanity; it was never didactic (except arguably in its Season Three theatre plot), and always made room for individuals' complex relations to their social roles. 'There's no such thing as an unmixed motive,' Milch is fond of saying. The Wire was all about unintended consequences, but its mode of characterization was classical rather than Shakespearean; The Sopranos started with two of TV's greatest characters but abstracted many of its characters for the sake of night-black comedy. Mad Men, on the other hand, makes room for characters like Pete Campbell, whose transformation from clownish villain to weird tragicomic antihero (and halfway-decent husband!) is one of the show's small narrative miracles. Unlike most of the Soprano family and anyone in the Baltimore of The Wire, Pete Campbell would fit nicely in Deadwood. I mean that as a high compliment.
I haven't even mentioned the show's wit, its sexiness, its one-liners, its detailed and unsentimental treatment of creative/artistic work, its handling of children, its vivid direction and photography, or (c'mon) the great John Slattery as Roger Sterling, as good a comic role as a middle-aged man will ever find in this shabby ruin of a television industry. Well, pretend I mentioned those things.
OK look, enough of this. Just go buy the DVDs for god's sake. This is the best value you're gonna get for the best show on TV. (And when Season Four comes out, get that too - it was the best year of the show so far.)