Is watching a TV show like "Mad Men" all at once a poor way to appreciate or review it?

I totally agree with all of this. Some shows are perfectly suited to marathoning – Mad Men is not one of them. You need time to digest (and discuss, even if it’s with the voices in your head!) each week’s installment before moving on to the next one in order to fully appreciate it. Some episodes are very subtly and intricately crafted with parallel scenes, allusions to other episodes/literature/history, etc., and you’ll miss the connections if you move too quickly through the series.

When you watch a television show back to back the flaws in the series stick out a lot more. I watched Buffy the Vampire Slayer back to back on DVD and while I enjoyed the show the flaws that existed just stood out that much more. Most of season 6 and 7 was just a chore to get through but I wouldn’t have noticed it as much had I waited a week between each episode.