The Wire is one of the best tv shows ever made, start to finish. Even S2 which a lot of people think is the low point is still better than almost everything out there.
I personally really like S2 but I admit when the show isn't focusing on Avon/Stringer/the cops it's not as good (but still pretty great)
Mad Men is fine but it goes on way too long. Wire is good from start to finish.
S2 is underrated. The reason much of the hate comes is the cast shift over and even that, took me out the first time. Once I got through it, a lot of the pieces fit together and it turned into an excellent season with a surprisingly well done angle.
S3 on the other hand, I felt was weaker largely because it is part 2 of Season 1. But this time, lets focus on the top brass of the gangs where the show lost a lot of the ambition it had in S1 and S2. It was definitely the most by the numbers seasons.
The Wire definitely falls out in S5. I love the angle and story they attempted, but it was the first miss.
S4 is top of the TV game. By far the best still.
Mad Men... I'm not even quite sure where I'd place it anymore. I sort of phased on it. Great start, but it was around Season 3 or 4, it really was trending water.
To the OP, go with The Wire and enjoy the greatest TV show.
After the Wire, I'd recommend several other shows before hitting up Mad Men. I'd go with Deadwood. Even incomplete, it is about the closest a TV series has come to The Wire.