If you find yourself in season ~3-4 of Lost and are wondering if it'll pay off at the end, it won't. Don't get me wrong, there is some interesting stuff in the middle of the series, but don't expect it be satisfied by the ending of it. Supposedly the writers negotiated an end date so they could have the series end well instead of being strung out year after year, but the end result is not much better for it, IMHO.
Mad Men is the best series on TV now, even though its audience is much smaller than Game of Thrones or probably other shows (I also love Game of Thrones, don't get me wrong). But it's not strictly about plot or character development, or even the history of the 1960's. It's broader than that. It makes its points very subtly, but it's very well written and acted (and direction and cinematography are also superb). It's unlike any other show on TV, and for me it's more "real" than melodrama or reality TV, like the way the Wire was more complex and "real". Now perhaps some people won't gravitate to that, hence the smaller audience, but the rest of us can enjoy it.