When a cable show starts its 2nd season, there's always a fear that it won't be a worthy successor to the previous one. There's also a hope that, because of the show being given a green light for the 2nd season, the show will push the envelope and try things that they wouldn't have tried in the 1st season.
Mad Men's 2nd season is every bit as good as its 1st -- in some cases, better. AMC has the best show on television: it's halfway between a miniseries and a feature film. It's lit and costumed like a feature film, but with the low story arc of a miniseries.
There are many extras in this newly released DVD set of Season 2: do yourself a favor and watch the documentaries first. There are lots of shorts on cultural events of the 60s (Jackie Kennedy's tour of the White House, the Port Huron statement, and Mark Rothko, to name a few). There are longer documentaries on feminism (spread out over 2 discs) and fashion through the entire decade of the 1960s. Commentaries, especially those by the show creator, Matt Weiner, are insightful and entertaining, but should be heard after watching each episode.