You know what, Damon Lindelof, co-creator of Lost? I think you're right.
Or, at least, half-right. Here's my theory of what the final episode of Mad Men will be:
A fifty-something year old guy will wake up in a hospital, having fallen into a coma in 2007. A doctor will come in and say "Oh, Mr. Draper, you're awake!" Except it's not Don Draper.
Everything we've just seen has been a coma-induced memory/fantasy.
Seriously, next time you sit down to watch some Mad Men and Bobby comes on screen, pay close attention to him. He's either a dreadful actor or the the best actor on the show, because once you're thinking the entire show is taking place in his middle-aged comatose brain, that kid is even creepier than Glen. And that kid is pretty fucking creepy.
Of coure, maybe all this is just me trying to convince myself it's okay to be watching (and enjoying) a soap opera.