What a coincidence! Only a few minutes ago, I watched "Mad Men" (on DVD, I am in the middle of season 2 so far, so I am a bit behind).
It's an outstanding show and better than most other shows that are running these days -- but still, although it may be good, it's a matter of taste and may very well not be everyone's cup of tea. It's definitely more demanding than other shows, you need a good amount of patience to get into the story, because it is going in a rather small pace and not everything is presented for easy consumption, "Mad Men" is not "fast food TV". Its appeal is not action, but in subtle details of scenery, dialogue and acting, things you don't even realize if you're just watching superficially. Also, there are not many characters you can easily relate to, or rather identify with -- just like in "Sopranos", many of the characters are cool, but disgusting criminals, you get horribly sexist asshole males in "Mad Men". And, of course, you need an eye for style, because a great strength of the show is the detailed reproduction of the early 60s.
In these regards (subtle storytelling and dialogues, the need to focus when watching, slow pace, thought provoking ideas, etc), it's maybe remotely comparable to shows like "The Sopranos". If you hated "The Sopranos" because you found them boring or hard to find access to it, chances are you won't like "Mad Men" either. But if you find that kind of show appealing, you might like it -- just watch an episode and give it a chance. But be aware you need to bring a little extra patience and focus with you when you watch "Mad Men".
