Everyone has an opinion about the show, many of them logged in our roundup, each one perhaps telling us more about the writer than about Don. There's the feminist view, the semiotic, psychological, biographical, mother centric...
My take is somewhat different and, from my perspective, the one that matters most because without it Mad Men is nothing more than a well-dressed soap opera. Don is an artist and a large part of what we see is how his art comes to be. It's not easy to show the creative process at work in a compelling way. Filmmakers have struggled with this aspect of life because it is so internal and difficult to visualize. (It's easier if you have someone like Van Gogh who cuts off his ear.)
Mad Men's season premiere opens in Hawaii with Don pretty much spacing out and staring off into space, looking for inspiration for the ad campaign he needs to dream up. We see Don's self-loathing take a self-destructive philandering bent that's guaranteed to leave him more and more isolated -- even at the office, where he's equally undecipherable and misunderstood. So when he returns from his Hawaiian work-ation and comes up with an ad campaign that can be construed as a suicide note, we get a glimpse of what it's like to be a self-centered egoist trying to manage life in the real world. The ad campaign's implications my seem shocking to viewers, but I think it's fair to say that many of our greatest artists do not measure up as the best role models.
Don's alter ego Peggy Olsen also has a secret, a baby she hasn't acknowledged or told anyone about. She, too, knows that creativity cannot be turned on and off, that it can come with isolation and darkness, and that sometimes the best thing to do is just stare off into space. Maybe you'll see your boyfriend in headphone silently shaking his head to the music and then it'll strike. Or maybe you won't. It can be funny that way.