SANTA MONICA, CA -- If it were up to Christina Hendricks, her character, Joan Harris, and her on again, off again love interest and boss Roger Sterling (John Slattery) would "do a Thelma and Louise" to end "Mad Men." That 1991 drama famously finished with with the title characters driving a convertible off a cliff.

"That's what I'd want, to just go out like Thelma and Louise," Hendricks said.

In...