I want to echo what is said here. I live by the border and have friends on both sides. Stay away from the border. Always carry some extra cash just in case the cops ask you to pay the fine "right there". Keep this cash separate from the rest of your money so they don't see it. And stay only in the tourist areas unless you have locals with you. If you're driving, see about "Mexican insurance". American insurance is no good there. You can buy it for one day, a week, whatever. The cops will want to see it. If you have a well-paid hunt set up, you'll probably be a lot safer than those who drive or walk there. But, I would recommend against it if you can afford to lose the cash.