We watched the first episode of Season 4 on Friday night. It was excellent: I've gone from being lukewarm towards this show for parts of Seasons 2 and 3 to being very interested again.
One of the subplots I particularly like is the focus on Don and his partners' conception of how to structure and operate their advertising agency. At the end of Season 3, they split from the British conglomerate that had purchased Sterling Cooper (and which was in the process of making the business increasingly impersonal and factory-like).
From the very beginning, I had liked that Mad Men is about the workplace (making it relatively unique among shows/books/movies), but somewhere in Season 2 it became too much a soap opera about Don's unfaithfulness -- just one cheating episode after another. The focus on his affairs made Don very unlikeable and, more generally, it made the stories less compelling.
Now, though, we've gotten back to more interesting story lines about the trickiness of office politics (including gender politics), "big" versus "small" in the business world (with the new version of Sterling Cooper representing the small, scrappy up-start), the overlay of American political developments (including the Kennedy assassintation and the Mississippi civil rights murders), public relations strategies, and attitudes towards homosexuality in early 60's America.
The best of the episodes are like social history lessons rather than a cheesy soap opera. And the visuals of the show remain excellent: the different colors, decor (the office architecture is fun to see), cool outfits, and old-time habits (including the crazy amounts of smoking and drinking) are a window into a not-that-distant but very different world.