Wait...Mad Men's budget per episode is almost the same as The Walking Dead? I've never watched the show, but, I understand it is an Ad Agency set in the 1960s. Does it really cost almost as much per episode to decorate the set for 1960s as it does for all the Special Effects needed for The Walking Dead?
Yes, period shows are notoriously expensive to make. That's why, for example, WB wanted Steven Soderbergh to make his Man from UNCLE modern-day (ironically, Guy Ritchie is now doing it in the 1960s); Soderbergh was unable to make it a period piece in the budget they were offering and left.
Think about it - sets, cars, clothes all have to be recreated or located and even things like haircuts have to be altered. Mad Men is notoriously precise in its recreation of the era and thus is probably one of the most expensive of its type. Also, if you look at the post I have at the top of this page, it links to a story talking about the salaries for Mad Men creator Matthew Weiner and star Jon Hamm.