The central character in this show is a deeply damaged man called Don. He has a strong survival instinct, but he's incapable of loving or even trusting. He is running scared. He compensates for his insecurity and emptiness by pursuing primal things that soothing his ego. He has to feel that he's in control, even though he's living on the edge. He tries to be the "Alpha Male" conquering all around him. In reality, he is a juggler about to drop all the balls.
The others in this show are complex human beings whose characters dictate how their lives evolve and ultimately end up.
One interesting character that you follow throughout the series is Peggy. She enters the world of advertising as a total innocent, but as the show progresses, you'll see her become a worldly and powerful business woman.
The show is full of examples of the attitudes and mindset of the 1960s. The type writer was designed "so even a woman can learn how to use it". Everybody smokes, a lot. It's ok for kids to play with plastic bags over their heads. Women are treated in a way that would surely be considered sexual harassment in today's world. These unacceptable things jump out at you and startle you, and give you a flavor of that era.
The show was a hit for a reason. It's very good!