There are two kinds of people in Mad Men: those who want to be like someone else, and the someone elses they want to be like. The first group is miserable because they aren’t the second group; the second group is miserable because they aren’t who everyone thinks they are, either.
Take Pete Campbell. He wants to be Don Draper. He hates Don Draper because Don reminds Pete of Pete’s own inadequacies. What Pete fails to realize is that Don is very aware of his own inadequacies. Pete wants to be Don, but Don isn’t something to aspire to. Don knows this … he’s not Don, either, he’s just pretending to be Don instead of Dick. Dick thought it would be better to be Don; as Don, Dick realizes Don isn’t something to aspire to.
And the previous paragraph isn’t just a lame attempt at clever wordplay, it’s an accurate representation of Mad Men, where everyone’s public face hides the real person underneath. And there is no escaping that real person … as Don says in the Season 3 opener, “I keep going to a lot of places and ending up somewhere I've already been.” Don is always Dick. And Pete, sadly for him, is always Pete.
There wasn’t much for the women characters in this one, although Matthew Weiner says that won’t be true in subsequent episodes. This is good, because despite this being to some extent The Don Draper Show, the female characters are among the most interesting on the series. For now, we have closeted Sal, finally getting laid … almost. And the following “almost,” where Don almost tells Sal something straight out (pun intended): limit your exposure. Don Draper doesn’t have much advice to give to a gay man, but there’s always the advice Don thinks fits every situation: keep your guard up, don’t let ‘em see who you really are. Sal may be in the kind of closet we’re well aware of in the 21st century, but Don’s in a closet of his own. He can’t expose himself, he limits his exposure.