Mad Men is less about story than it is about character. Or rather, it's less obviously about story. The characters drive the action; sometimes Things Happen from external, unpredictable sources, but most of the conflict and tension and drama in the show stems from how the characters respond to things.
Don seeks that creative problem-solving place, because it makes him feel like he has an identity; Peggy wants to be treated like an equal, and wavers between obedient conformity and tough aggression; Pete wants, above all else, respect, and views events through the lens of how much he respect they gain or lose him.
In this season's premiere double-sized episode, we also learned a great deal about where Lane's psyche currently sits. His racist reaction to the black cab driver's offer to return the lost wallet stands in stark contrast to his rebellious pride at having a black girlfriend in season 4. His desire for sexual liberty, demonstrated by the aforementioned black girlfriend (and encouraged by Don when they had that night on the town, complete with hookers), has been suppressed in favor of reconciling with his wife, but Lane still held out a (slightly creepy) hope that the mysterious Delores might be interested in him.
It is hard writing characters of this depth and complexity, and any great writer should, it seems obvious, focus on the immensely difficult task of creating characters. Story and plotting are easy by comparison; great characters drive their stories.
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