Yes, "classy" is the word to describe the show. You may not like Donald Draper, but you can't deny that he's got style.
Mad Men is a fascinating look at a time when men were men, women dressed like women, and black people knew their place. In short a time when sexism, racism, and discrimination were the norm and accepted as the way things were and should be.
Through a portrayal of these ad men's lives, the show critiques these attitudes, yet deftly manages to avoid being preachy or condescending. There are also hints of change on the horizon: growth of female employment outside service positions, birth control, and an edgy new beat generation.
Of course the show is entirely enjoyable without much historical familiarity with the context, but it should be especially appreciated by those familiar with the times and attitudes of the late 50's/early '60s. But for all those simply-want-good-programming, it is a show filled with drinking, screwing, philandering, and smoking. And of course, power struggles and mysterious pasts.
My only criticism of the show is that in an apparent effort to expose the myth of family/domestic bliss of the 50's, the show portrays almost every single married male under 60 as a lying/cheating philanderer. There seems to be a basic assumption by the writer(s) that cheating happens in every marriage, no matter what age/place; perhaps a little extreme? Also, the pace of the show is a little slow, perhaps I've been spoiled by 24 however :-)
Overall however, this show is fun, fascinating, and worth the watch!