One thing that's been different about Mad Men as opposed to other shows is that it doesn't follow "the script". Most shows are either individual episodes are contained emphasis, or else they're season-long arcs. There's a clear sense from the beginning of any episode how it's going to end, and there's a general understanding that the problem raised in the beginning of the season will be resolved by the end. There's always small exceptions, but for the most cases, the vast majority of shows seem to follow this pattern. Mad Men, however, doesn't seem to care what people expect. Episodes seem to have no clear theme at times, and the seasons occasionally seem to be about nothing. One can easily walk away from the episode and think "just what was that all about?" because there's no clear beginning, middle, and end. It's not chaotic or anything, but as someone who's seen a lot of TV and movies, Mad Men always threw me off because I wasn't able to pin down it's patterns at any point during the run. It's a show about characters, rather than plot lines, and succeeds due to its "world-building" powers rather than convoluted twists and turns. It's been refreshing and frustrating at the same time.
Through the show, the only true theme/motif is one of identity, specifically "who is Don Draper?" It's a question the character himself has struggled with both literally and metaphorically, and something the audience has started to think about as well. It's a good question to ask; do we define ourselves by our beliefs, our name, our jobs, our hobbies...or is it something else? Don Draper, a millionaire with an excellent job, the man who has everything, never seems to be able to solve this problem. Perhaps he will tonight. Perhaps he won't. The question is...will we?