Season 1-4, or you won't understand/appreciate what's going on.
A bunch of people on IMDB suspect Megan is playing Don.
IMDb :: Boards :: "Mad Men" (2007) :: Wow Megan Sucks
I didn't get that impression watching the episode. What I did think was that she comes from a far different background than the other characters. That part where she very comfortably laughed and chatted with the black gay guy at Don's party. Later, she admits to Peggy that everyone in the office is cynical, they don't smile, and they smirk - all a very upsetting culture shock for her. This all didn't give me any indication that she's up to something. But then the people on IMDB gave some interesting comments, and now I'm not so sure anymore.
I still remember that scene where Sally was running away from everybody at the office, falls, and Megan is the one who comforts her. That was probably the one warmest, kindest moment I've ever seen in the series. It really stood out to me. So much so that I watched it a few times, and wondered why such a minor character (Megan) was given the spotlight so prominently. The characters are so cold, guarded, and gloomy sometimes that it's a huge suprise to see any sort of warmth portrayed.