Though many of the characters have gone on huge journeys, evolving from one thing to another, one of the big themes of Mad Men is that this change is largely superficial. Peggy Olson may have gone from a lowly secretary to one of the most important creative minds at the ad agency she works at, but she didn't "change." She simply revealed more of who she really was, thanks to career opportunities given to her by her former boss, Don.
The actress who plays Peggy, Elisabeth Moss, mused on how this theme is woven into the final seven episodes. "People do change, but in a lot of ways they don't," she said of lessons learned from closing out the story.

To clarify the incredibly misleading headline:

1. Nothing
2. Nothing
3. Nothing
4. Nothing
5. Something, but really just more Nothing.

Joe Stracci