Another crutch built into shows set in the past is the relevance of cherry-picked music...with the advantage of hindsight, the soundtrack for a show like Mad Men can feature only high quality songs, and the can all be perfect (the "Forrest Gump" effect?).
The song that closed the season one finale was Bob Dylan's "Don't Think Twice, It's Alright".
Of course, shows don't have to be set in the past to leverage tried-and-true music to shortcut the way to an emotional response. I remember trying out a show on Netflix Instant, "the Riches", a show about a "gypsy" family in contemporary America, trying to get by...and wouldn't you know the song that rolled at the credits for the premier episode was another one by Bob Dylan, in this case "Shelter From the Storm".
And now that I'm thinking about it, it seems like Duchovny's "Californication" used some Dylan to strong effect as well (that show's soundtrack also introduced me to this amazing cover of ELO's "Do Ya")
Well it ain't no use sittin' and wonderin' why, babe - Bob Dylan