If there is a tragedy which is being overlooked by Mad Men commentators, that is the tragedy of Roger Sterling. If I were asked to bet on which key character would be committing suicide by the end of this season, my money would be Roger. Everyone is discussing how Don Draper's life is heading for disaster, but an epiphany of sorts (and some assistance by A.A. member Freddy Rumsen) could very easily be a plot device to bring him back to where he was. Draper still seems to have the talent and the goodwill and name recognition to work and sell his work to clients.
Sterling, on the other hand, not only lacks talent or drive, but is realizing it, too (but not able to come to terms with it). The first slap on his face came on the season 3 episode, in which the British owners of Sterling-Cooper presented a new chart for the company; his name wasn't even mentioned. He explained that he makes his job look so easy, that people don't realize how important it is. Then, on the third season's final episode, he admitted to Draper that he was acting as if though he had created his business when, in actuality, he had inherited it (and, it was noted, that the only reason he was included in the new firm was the Lucky Strike account). And then in this season - apart from the Ponds Cold Cream account, which he has to handle himself; even there he manages to get the client, a recovering alcoholic, drunk - he only brings trouble to the company, most pointedly with the Honda account. His childishness is alluded to many times over the series (he himself also considers his young wife to be childish), one can see that Bert Cooper is behaving to him like a father trying to persuade his young son not to be naughty, and Lane Pryce in the latest episode ("Waldorf Stories") even referred to him as a child while talking to Campbell.
For his part, Sterling himself is trying very hard to justify - to himself, that is - his importance. He is writing his memoirs (for want of any meaningful activity) and he understands that there are only a few important things he would be able to say about his work. He wants to get the credit for what he considers his own ultimate coup for his previous company, discovering and hiring Don Draper (and he wants so badly recognition by Draper himself on that), but it seems that even his role in that is controversial at best. It seems that he thinks that he is running out of excuses for living - his look after Draper leaves his office with the Clio award at hand is that of a man understanding that the recognition he received by Draper was probably not genuinely felt, but only a matter of good manners or of old-times-sake camaraderie. John Slattery does an amazing job in portraying that look of a sense of uselessness trying to be concealed by reference to imaginary (perhaps) moments of true executive genius. Roger Sterling's jumping out of the window within the next few episodes seems very plausible - especially if something to the effect of Lucky Strike leaving the company comes to happen.