I just finished watching Mad Men (I watched them on Blu-Ray instead of TV) and I think it might be the best TV series ever made. It's got depth that few TV shows can come close to. Certainly not shows like Game of Thrones. GoT is entertaining but beyond wondering who will be next to die it's dramatically inert. Mad Men is about things we can actually relate to. There's no shootouts or heads cut off and nobody gets whacked. It's just about people and life and it's more gripping than any of that other stuff. That's only possible because of how beautifully made Mad Men is. It's perfectly executed on every level.
I loved the ending.
I think one of the show's main themes was about looking toward the future and not dwelling on the past.
One of the things I loved was Pete's progression from the quite unpleasant character in the first season to the person he'd become by the show's end. I remember early on in the show, when Pete found out that Don had lied about who he was, he went and grassed him in to Bert. Bert didn't care and told Don to forget it because Pete could one day be his ally. Then in season seven I think when everyone tried to get rid of Don Pete refused to allow it. Throughout the entire show Pete never once mentioned Don's true identity again. I really liked the relationship that developed between the main characters.