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I fairly well suspected from the start that he was hallucinating the woman, but what popped to mind when he strangled her was that the show had just made brilliant use of certain comments fans originally had made about Don.
Do we all remember? Back during the first and second season, a lot of comments on this board said, "I think Don's going to kill someone," and "I bet he killed someone," and "So-and-so better watch out or Don will murder him/her..." So many viewers were sure he was a killer. That he would, literally, murder someone to keep his secret, etc.
I thought the faux murder scene was very much in keeping with the theme of the episode, but I also appreciated the fact that someone finally played with viewer's expectations, and tricked us by using that assumption that Don is capable of murder.
Truth is, from what we've seen, he's pretty much not capable of murder. Capable of doing or saying mean things, but killing? Not unless he's really sick, feeling guilty, fighting his own inner demons...and hallucinating ;-)