To understand what draws Don to Diana the waitress, one need to follow the history of Don’s romantic liaisons.
Mad Men is about the way people define themselves from the outside – getting things not because you actually need them, but rather because they’ll make you feel good about yourself – this is what advertising is all about – getting you to acquire stuff to calm, however briefly, that constant itch of dissatisfaction, or so Don told us on the pilot. And this is why Don constantly looks for new women – not for sex, not really for love but as a tool for redefining himself. Lacking a solid, dependable sense of self, by being romantically involved with a person, he inhabits what he believes to be the essence of them, and he tends to go for people who represent a certain abstract notion he’s striving for at the time he hooks up with them.
With Betty, obviously, he got that sense of stability, familial as well as social. With Midge it was about being free spirited and creative. Rachel offered the alluring sense of exotic otherness he could project on his own misfit state. Joy rootless nihilism was an alternative possibility for him to toy with at a time he was not sure his normative, middle class realm was valid anymore. Susan idealism and commitment to others, ironically, attracted him at a time he was supposed to be a good family man. Even Sylvia, with her close to home, guilt ridden realness was a reflection of the way Don was reconnecting with the harshness of his personal history.
And as for Megan - Faye offered him a grounded, mature grasp and understanding of his own very particular social and professional world – and he declined it for what Megan seemed to be all about – wide eyed admiration of him and a romantic glorification of what “you and Peggy are doing”. With her it was not only about a fresh start as a married couple but also a bright future as a creative team. Her walking away from advertising was a shocking blow to the core of his professional self, and since that was always a fundamental part of his fabricated persona, a huge hit on his grasp of who he is.
Don meets Diana when he’s in a very dark place of a sense of total displacement, of being in a state of no correlation between the glossy, successful image he projects and inner feeling of disassociation. And in her he sees a fellow disassociated soul – unrooted and lost, and he believes that by rescuing her he’ll achieve some kind of self-salvation.
(Now – Bobbie. She doesn’t fit in, doesn’t she? But that’s because that time it wasn’t her being picked by Don but rather him being Don-Drapered by her. It was quite a reality check in too many ways for him (as well as for Betty), and it certainly was an affair to remember, as we found out when he quoted Bobbie (the infamous “being bad/being good” one) to Joan when they were in the bar on Christmas Waltz).