Boardwalk empire should be next on the list.
That's a series which was never as good as the talent involved would have you believe it should be. It has its moments, but I found it dissappointing.
Mad Men was so great because it was pretty singular.
As a period drama it wasn't dumbed down like most period dramas. It didn't try to appeal to the audience by crafting contemporary sensibilities onto the past (Downton Abbey is the most obvious of many offenders) so a young audience wouldn't be alienated from the characters. In Mad Men the relatively recent past was indeed a foreign country.
It's art direction was impeccable, better than that of most films, combining what was accurate for the period with a stylisation which reflected the films of the period. The show looked gorgeous and it wasn't style over content because the style was always in the service of the characters and their history. It was integral to a narrative about people who worked in advertising and who lived in a decade which saw huge changes.
The characters acted consistent, true to their nature and not in the service the plot as required by so many TV shows, where characters shift and change to move the in different directions (The Walking Dead, Orange is the New Black). This is why those who dismissed the show as a glossy soap are wrong. The show never resorted to the melodrama and the grinding plot mechanics of soaps.
I think it was a genuinely feminist show, not by giving you ass kicking action chicks (a very male view of empowered women who resolve problems the way men do) but by holding up a mirror to the ugly face of patriarchy. It made you understand and feel for a cold, potentially unlikeable character like Betty and how the restrictions and expectations placed on her by society made her the screwed up woman she was. It celebrated the gains women like Peggy or Joan made despite those obstacles and who had to work ten times as hard as the men to get there, without idealising them and without coming across as cheaply triumphant.
There has never been a show which charts an entire decade, not in the big events so much as in subtly, slowly shifting social attitudes and fashions and how that affects the psychology of its characters.
The only thing I've seen which I think compares to it on several of those points is Todd Haines' (currently acclaimed for his film Carol) HBO mini series Mildred Pierce which does for the 1930s what Mad Men did for the 60s and which has similarly rich characters, even if it unashamedly is a melodrama.
In terms of character writing the best series I've recently seen is the Amazon series Transparent.