January Jones is on one of my favorite shows of all time, 'Last Man on Earth.' If you haven't checked it out, you need to immediately. If you're a Will Forte fan (SNL, McGruber), then I'm confused why you haven't seen it yet. He's the star and he's as wonderful in it as all his other work. She starts out the series as simply a beautiful woman for the main character (the last man on Earth.. Sort of) to fawn over, but as the series goes on she really gets to show off her comedy chops.
I've never seen 'Mad Men,' so I don't know how much comedy she performs on that show, but I can't imagine it's on the level of 'Last Man on Earth.' Hollywood loves sexy, funny ladies. Here's the trick though. Being funny IS sexy.