Anti-hero in The Wire? Omar is a Wild West figure, so maybe you could go with Bodie whose death is the show's most powerful moment and you feel sorry for Bodie even though Bodie blew away Apollo Creed's kid back in season 1 as the kid wept for his life.
Here, something I never said to you when I finished Mad Men: I view it as a show about its characters NOT changing. I think these people's personalities are all mostly what they were in season 1. Don making the Coke ad means he's still Don Draper, he's still a commercial #####. Peggy is still stalwart, Pete is still a douche, Roger is still a cutup, Joan is still a snippy queen bee b###h, Sally is still sad, hey you know who changed? The kid. The times changed more than the people. But, I only watched the show once! Hiccup, kill me, hiccup, kill me, hiccup, kill me, the mike, Darby, pick up the mike!