Mark Simonson takes an extensive look at the typography of Mad Men and concludes that a surprising amount of the type is set in fonts that either weren't around in the early 60s or weren't yet popular in the US.
Then there is the Gill Sans (c. 1930) problem. Gill is used quite a lot in the series, mainly for Sterling Cooper Advertising's logo and signage. Technically, this is not anachronistic. And the way the type is used -- metal dimensional letters, generously spaced -- looks right. The problem is that Gill was a British typeface not widely available or popular in the U.S. until the 1970s. It's a decade ahead of its time in American type fashions.
There's also the Arial problem in the ending credits.