On another forum people were discussing Mad Men and Breaking Bad in terms of how they differ in going forward, now that the end is in sight for both. They're an interesting contrast, with being on opposite ends of the expectations/difficulty spectrum.
Which is to say, you might think that Mad Men is a harder show to end, in a way, since it's less obvious what a satisfying ending to the show would look like. But by the same token, there's no huge weight of expectations around any particular ending. Mad Men is really structured as a series of short stories that accumulate detail over time; there's no big overarching narrative. And even a less-than-stellar ending wouldn't really undermine the preceding ones.
Conversely, Breaking Bad has a much clearer ending, or, at least, general direction (Walt's fall, though there are a range of options on the table there - he can be alive and a drug kingpin, but at the cost of his family, etc.; he can be caught by Hank; he can be gunned down by rivals, or by Jesse, etc.). But the whole series has been building to this point, and fans have been speculating on how this will play out for years, meaning there's a lot more expectations for what a good ending to the show will look like. And if they falter (I don't think they will, mind you) on the show's ultimate payoff, it would diminish the show.