For the rest of you, let's start with the show's protagonist, Don Draper. I'll give you a moment to wipe the drool off your keyboard.
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Now let's look at his nemesis, Pete Campbell, weasel-faced bastard extraordinaire.
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So why does Don get our sympathy and Pete get our scorn?
Don, for all his flaws, still has a code of ethics, no matter how warped we might find it. Sure, he loves his adultery, but he won't use his rank to bang his way through the secretarial pool like the other guys do. Yes, he hides his past, but for good reason: his real mother was a prostitute and his father could rival Mel Gibson in the drunken asshole department. But he raised himself up from his hardscrabble beginnings, reinvented himself from scratch and worked his ass off to get where he is today, and who doesn't love a good rags-to-riches story? Also, his outsider status allows him to side with the underdogs of the world (proto-feminist Peggy, closeted Sal, even his girlfriends go against the grain of society). Empathy and a code of ethics (not to mention charm to spare) go a long way.
Pete on the other hand has no moral code. He'll use any means to get what he wants, including blackmail and flaunting his family name. There is no line he won't cross and that makes us squirm. Sure, we get a little glimpse into his past and how his family has always treated him like a second-class citizen, but instead of giving people the respect and consideration he wants for himself, he perpetuates the cycle of mistreatment. He is slowly redeeming himself through Season Three; he gets along with his wife a lot better now, and he tried to get one of his clients to tap into the African-American market since their products happen to be big sellers in predominantly black cities (he may or may not actually be racially progressive, but he's at least smart enough to realize that a black person's money is every bit as green as a white person's).
Now for the female counterparts, starting with Joan Harris (formerly Holloway).
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Now let's look at Jane Sterling (formerly Siegel).
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So why does Joan get more love than Jane in the Mad Men fandom?
Like Don, Joan has her own moral code. When she gets snippy at the girls around the office, it is usually for good reason. When you read between the lines, she's offering advice underneath the venom, but if she's too nice, she won't be taken seriously as the office manager (remember, second-wave feminism hasn't happened yet). Also, she gives the phone operators her utmost respect (and gifts!), because without them the agency will go down in flames. Yes, she slept with married men while she was single, but when Roger Sterling offered to leave his wife for her, she wouldn't have it, and she wouldn't be his kept woman either. Joan is her own person.
The "open-minded" comment she gave Paul's black girlfriend, Sheila, is definitely inexcusable through a post-Civil Rights lens. For the time, though, her bigotry was really no different from most people around her (as the civil rights movement picks up steam in later seasons, we'll have to see her reaction before passing final judgment). As loath as I am to defend her remark, Joan would have been just as harsh if Sheila had been white; her race was an easy target, but not the reason for Joan's bitchiness. Just like with her in-office cattiness, that "open-minded" comment was her veiled way of warning Sheila that Paul is a cad and a poseur, and probably using Sheila as a prop for his bohemian image.
What about Jane? Where Joan has depth, Jane is transparent, and like Pete, Jane seems to have no code of ethics. When it comes to any redeeming qualities, her transparency ends here. We don't know if she's truly smitten with Roger (who later leaves his wife for her) or if she sees him as the consolation prize since Don turned down her advances; the scene where she recites that sappy poem to him could have been a heartfelt gesture, or it could have been a ploy to keep the new sugar-daddy around. We don't quite know the motivation behind her giving Roger's daughter an overly expensive bridal gift. Is she trying to make nice with her new stepdaughter (who hates her) or is she trying to show up Mona, Roger's ex wife? As for her cattiness, when she makes a bitchy remark, she tends to make passive-aggressive cutesy faces as if to say, "Oops! Did I say that?" If she at least owned her bitchiness like Joan does, it would give her some integrity.
So my point? Your characters can have as many flaws as you want. Just make sure you pick the right traits to balance them out if you want them to be sympathetic.
And because I'm just a teensy bit in love her, I'll leave you with more Joan:
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ETA: This post covers up to Season 3, just so you know.