Don's first and most important compartment is his childhood. In the army he assumed the identity of his lieutenant (who died), and noone - except the man's widow - knows Don's past.
His second biggest compartment is his extramarital affairs. This is reminiscent of some things Bill Clinton said about abuse in childhood that led him to become a compartmentalizer, and how that led him to justify affairs. In fact, Bill Clinton may be the inspiration for that part of Don Draper's character.
Don keeps his working life and home life almost completely separate. Betty frequently complains that she knows absolutely nothing about his work. The one exception is that he occasionally takes her to social business-related outings.
When Roger asked Don how he met Conrad Hilton, Don said, "We travel in the same circles." That's a near-lie, as Don met Conrad at a party at Roger's club. Don doesn't seem able to share any of his secrets.
Don's hatred for Roger Sterling all dates back to when Roger invited himself to Don and Betty's for supper. Don doesn't hate Roger because he made a pass at Betty, but because Roger crossed a boundary into Don's personal space. He got so upset about it at the time that he pulled a horrible trick on Roger: just before meeting important clients he got Roger to have an oyster and Martini lunch; but when they got back to the office Don had bribed the elevator operator to say the elevator was out of order, so they had to walk a couple dozen flights of stairs. When Roger met the clients he threw up on them.
Likewise, Don's one-time secretary Jane, now Roger's wife, crossed the line into Don's private life when she was indiscreet about knowing that Don and Betty had separated for a while; and Don hates her too.
Don had another near freak-out this week when his company forced him to sign an employment contract. It's not clear why it was so important to him to not have a contract. It could be that he avoids putting his assumed name in legal documents, pressure he is under only because of this huge secret. It could be that he fears being tied down in a way that ties together his personal and professional lives. Whatever it is, his reaction was extreme and irrational.
The key thing about Don's compartmentalizing is that it's pathological. He lives under enormous pressure because of it, and the pressure is never about getting caught - it's not the typical show about a cheating husband - the pressure is almost all in his head, and when his secrets start to leak out or boundaries blur, Don gets angry, disoriented and wreckless.
It seems like Don might be heading for another breakdown. Personally, while the show is as good as ever, I wouldn't mind if they could bring this compartmentalization theme to the fore a bit more and then expand Don's personality somewhat - otherwise it might get a bit tired.