First, the Mad Men characters are hardly villains. They're certainly not saints or role models, but they're not exactly villains, at least not most of them. Like the vast majority of people in the world, they're selfish and short-sighted.

Second, the actors have a wide variety of roles. However, the places I remember seeing cast members is a bit different:

John Slattery - Tony Stark's father from the Iron Man movies
January Jones - a hot girl in American Wedding
Jessica Paré - from Hot Tub Time Machine
Jared Harris - minor role in Benjamin Button
Jon Hamm - the nice, stupid handsome guy in 30 Rock

(that's a statistically significant number of first names starting with J)

When you get outside the top seven or eight characters the actors are definitely not "antagonists" (Rich Sommer, Aaron Staton, etc.).