We love Mad Men because Don Draper is badass on all levels. Every guy who watches this show wishes they could be like Don in some way or another, and for good reasons. Whether it's because of his confidence at the workplace, his impeccable wardrobe, or his '59 Coupe de Ville, Don Draper seems to just get it right. Sure, he isn't the ideal family man and probably couldn't keep a stable relationship with anybody other than his close colleagues at Sterling Cooper Draper, but much like Hank Moody, we root for him anyway. That's why this show is great to watch.
This MagScan is an article called "Everything We Know Is Wrong" from the April 2013 issue of Esquire magazine that talks about how Mad Men is able to perform as well as it does with the viewer segmentation it has. Specifically, Mad Men's primary audience consists largely of the famed "1 Percent", and as the article points out, "...it is one of the few dramatic shows ever to have the audience to justify business-to-business advertising".
So basically, I feel pretty good about myself being a loyal viewer of the period show, and as someone who works in the field of marketing and advertising, I also find the show to be educational (in terms of advertising fundamentals, media advertising, and about the era in which the show takes place), in addition to the show being highly captivating and entertaining.