Mad Men is set in the 60's, not the 30's. I don't mean to be a pedant, but the era is, in many ways, the principal subject of the show. That's one of the reasons it's not very engaging, at first; we invest in a show when we invest in its characters. In other words, I agree with much of what you've said (though I'm not bothered by smoke I can't smell). But I'm trying hard to warm up to the show, as I admire the complexity of its vision. It's a satire of the 60's that's also a little bit in love with the era, which I find intriguing.
Suzy CC