Yeah, I agree. I first episode of any show is always a bad one to base a judgement on - even the Wire's first episode is a bit shaky - and the whole "Look at us! We're in the 1960!" shtick in that first episode of Mad Men is rather laid on with a trowel, but after that the show really settles down. I love the pace of the show, perhaps because I grew up watching European movies and Mad Men seems, to me, to have a really European sensibility in terms of pacing and attention to character. It's just about the only American show I can think of in which more is left unspoken than spoken, and in terms of making as few concessions as possible to the viewer - which is just another way of saying "treating the viewer as an intelligent, thoughtful person" - I'd place it almost up with the Wire.
One more thing: holy shit Jon Hamm's performance is extraordinary. I don't want to harp on the point too much, but again it seems like the kind of performance we'd expect more in a European production than in an American one. If anyone wants to see just how good his acting is in this show, look at the incredibly subtle yet near-total transformation he undergoes in the penultimate episode of season 2, "the Mountain King", when his character gets to completely drop the Don Draper persona.