Mad Men Season 5 episode 9, "Christmas Waltz": Don Draper and his wife see a play. The stage is gray with blocks, the cast's clothes are gray too.
Was it real? What was the name of the play?
Yes, it was a real play. From Wikipedia:
Megan (Jessica Paré) and Don watch the play America Hurrah, in which a character rants against TV advertisements. After the play, they argue about its negative portrayal of advertising.
It was a satirical play that premiered in 1966. You can also see the playbill in this clip, around 0:30: