Its all what you want.
If you want that nasty cheese and bean covered Tex-Mex stuff? Anywhere East and North of Midland will get you that verson.
If you want very tasty with a Spanish and Indian flare Santa Fe is your bet. I happen to love blue corn at The Shed.
Fish, Chicken and basic dishes are all over interior and coastal Mexico, although "real" Mexican food seems bland and lacking green chili for my palete.
IMHO after searching all over the US for years, the green chili growing region of the Mesilla Valley, Las Cruces to Hatch New Mexico has the best food anywhere. Little cheep local dives like Chopies in Anthony and Roberto's in Las Cruces are tops in by book.