It's no coincidence that until this very month, the actors on Mad Men had played villains in just about everything I've seen them in.

Jon Hamm in Bridesmaids, Sucker Punch & The Town
January Jones in X-men First Class and Unknown.
John Slattery in Adjustment Bureau
Jared Harris in Sherlock Holmes 2, and Fringe (though he played a mildly sympathetic scientist in Resident Evil 2, but who was responsible for the zombie plague)
Vincent Kartheiser in Angel
Christina Hendricks on Firefly & Drive

Actors from Mad Men play antagonists, like actors from Deadwood play cops. It's probably symptomatic of something with the show and its own view of its characters. I can watch it, enjoy watching it, and admire the writing and acting and whatnot, but at the end of the show, it's done and I'm not engaged. My appreciation is strictly abstract and objective, so I feel no need to really talk about it. Maybe that even says the show is better for not using emotional manipulation to hook the audience, but it also leaves me without the urge to share my experience with anyone. I keep trying to interest friends and family in The Wire, or Breaking Bad, but when someone mentions Mad Men, I kind of just shrug and go, "yeah, that's pretty good too." The other shows seem to have a point, and Mad Men really doesn't, other than "Look: Assholes!!"