Agreed so much! I love, love, love their mentor/mentee frienship, and Peggy really seems like one of the only women Don genuinley respects. You can really tell he values her opinion, but he doesn't sugarcoat things for her, either. I think Peggy understand's Don's nature a lot better than his other love interests, as well. But I'm often torn between wanting them to go there, and not wanting them to risk what they've got going.
Another to add to my list:
Tea/Tony (Skins US): She's a lesbian, for one, so it's pretty much not going to happen unless the writers take it in that direction (which I'm really hoping for, actually). A lot of people are upset over the T/T hook up in her episode, mostly because they don't want to see another lesbian-goes-straight storyline on tv, but honestly, there is too much chemistry between the actors to ignore. Why can't she be bi? Plus, they're pretty.

If it doesn't go any further, I might be a bit disappointed, but I definitely see the other side of the argument, so I won't be ridiculously upset or anything.