The season three finale of Mad Men "Shut the Door. Have a Seat" averaged 2.3 million, the most of any season three episode since the premiere.
It truly was a great episode and if you have access to AMC On Demand, even if you've never watched an episode of Mad Men and never plan to, I'd recommend looking at the finale anyway. A lot of its richness will be lost, but the "caper" elements of the show (if you liked movies like Oceans 11) will be entertaining for you anyway.
Though in general, from a compelling story perspective Sons of Anarchy has kicked Mad Men's ass in my opinion, the Mad Men team fired on all cylinders with the finale and for a change, it was extremely plot-driven.