In the tenth episode of the fifth season, in an episode titled "Christmas Waltz," Joan and Don visit a Jaguar dealership to test drive a car, and subsequently find themselves at a bar discussing their respective current personal woes.
While the flirting between them appears to be more like two friends with similar intellects and of similar levels of attractiveness simply admiring each others beauty, it's not completely clear why they haven't taken their relationship further.
Although Don is (sometimes happily) married to Megan, he has a history of philandering with co-workers-- though that seems to be both in the past and out of the question with Joan.
Joan is only a short while removed from being served divorce papers by her occasionally abusive husband, Greg.
There is obvious sexual tension between the two of them, though perhaps that's all it is. The question remains: why have Joan and Don never slept together?