InStyle magazine has an "inside" look into the fashions of three of the female stars. I like Peggy's outfit...and especially her tiny waist highlighted even more by the belt. But I can only imagine the undergarments (and dieting) required to get that look. Can she breathe?
If you want to copy the Mad Men look, Banana Republic has a Mad Men Style Guide to go along with the "Casting Call" contest run by AMC. So far I have to say that most of the entries in the contest look like head shots of professional 21st century actors - many didn't even dress the part.