Peggy, Don, and Pete all change remarkably from season one, as far as I can see.
Don has ups and downs, constantly struggling against his nature, being forced as the years go on to deal with his insecurities, his selfishness, and his inability to find peace and happiness. As the series goes on, he takes steps forwards and backwards, but by the end, he is definitely a different man than he was. Season one, he's still navigating the bureaucratic waters of the cutthroat corporate world. By the time of "Shut the Door, Take a Seat," he's rip-roaring and in total control of his surroundings, but not his personal self - that's almost regressing as he gets more worldly power. The final season sees Don confront all the baggage he's built up over the years and jettison much of that narcissistic, controlling a-hole behaviour. Could Season 1 Don have hugged that guy at the hippy commune? Nope.
Peggy definitely changes. She shows up naive, sweet, and mostly innocent. She gets corrupted to an extent, but also comes into her own as a person. She's never perfect, but she certainly changes.
Pete starts out an entitled brat. By the end of the show, he's falling on a sword for Don (with the government thing) and fighting to keep his family together. He's never a "great guy", but he's changed dramatically by the end.
It's a show that shows a lot of humans with our human problems. So, yeah, they're a-holes, or they can be. But, they change, grow, and have nuance to them.
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