Just shows what you can accomplish with only a blue backdrop, a good song...and Ann-Margret. (This clip contains both the film's memorable opener, and the even-better reprise.)
In the "Mad Men" episode in question, the up-and-coming ad exec Peggy Olson, played by Elizabeth Moss (Speed-the-Plow), expresses disdain to her drooling male colleagues over the musical number , but in this scene, shows that she longs to be desired the same way: