If you're into History I'd also suggest Rome
Yeah Rome is very good, especially if you can get the unedited first series which has 12 episodes rather than 10. I hope HBO re-visits that after GoT finishes.
The Man in the High Castle just released a third series. Also there's 'You' which is good if you like that kind of thing (it hooks you in even though the subject matter makes it difficult to watch at times, can get a little too creepy...).
I tried watching Mad Men but didn't personally like it. Focuses too little on the advertising and too much on their somewhat boring personal lives for my taste, at least the first four episodes did after which I stopped watching.