The New York Public Library compiled a Mad Men Reading List of the books read by characters on the show. It's a great collection of books from the era!
Here are a few:
Don Draper's Picks:
The Inferno by Dante Alighieri
Exodus by Leon Uris
The Spy Who Came In From The Cold by John Le Carre
Portnoy's Complaint by Philip RothRoger Sterling's Pick:
Confessions of an Advertising Man by David Ogilvy
Joan Harris's Pick:
Lady Chatterly's Lover by DH Lawrence
Mad Men Reading List (PDF)