http://travel.state.gov/travel/cis_pa_t ... s_970.html
Information from the US Consular Sheet for Mexico. Sorry this is so long, but is very interesting.
SAFETY AND SECURITY: The Mexican Constitution prohibits political activities by foreigners, and such actions may result in detention and/or deportation. Travelers should avoid political demonstrations and other activities that might be deemed political by the Mexican authorities. Even demonstrations intended to be peaceful can turn confrontational and escalate into violence. U.S. citizens are urged to avoid the areas of demonstrations, and to exercise caution if within the vicinity of any protests.

The Department of State recommends caution in traveling to the southern state of Chiapas. Armed rebels and armed civilian groups are present in some areas of the state, and there is often no effective law enforcement or police protection. Violent criminal gang activity along the State’s southern border – mostly aimed at illegal migrants – continues to be a concern. U.S. citizens traveling to Chiapas are encouraged to contact the U.S. Embassy for further security information prior to traveling to the region.

Sporadic outbursts of politically motivated violence occur from time to time in certain parts of the country, particularly in the southern states of Chiapas, Guerrero and Oaxaca.

CRIME: Crime in Mexico continues at high levels, and it is often violent, especially in Mexico City, Tijuana, Ciudad Juarez, Nuevo Laredo, Acapulco, and the state of Sinaloa. Other metropolitan areas have lower, but still serious, levels of crime. Low apprehension and conviction rates of criminals contribute to the high crime rate. Travelers should always leave valuables and irreplaceable items in a safe place, or not bring them. All visitors are encouraged to make use of hotel safes when available, avoid wearing obviously expensive jewelry or designer clothing, and carry only the cash or credit cards that will be needed on each outing. There are a significant number of pick-pocketing, purse snatching, and hotel-room theft incidences. Public transportation is a particularly popular place for pickpockets. U.S. citizen victims of crime in Mexico are encouraged to report the incident to the nearest police headquarters and to the nearest U.S. consular office.

Visitors should be aware of their surroundings at all times, even when in areas generally considered safe. Women traveling alone are especially vulnerable and should exercise caution, particularly at night. Victims, who are almost always unaccompanied, have been raped, robbed of personal property, or abducted and then held while their credit cards were used at various businesses and Automatic Teller Machines (ATMs). Armed street crime is a serious problem in all of the major cities. Some bars and nightclubs, especially in resort cities such as Cancun, Cabo San Lucas, Mazatlan, and Acapulco, can be havens for drug dealers and petty criminals. Some establishments may contaminate or drug drinks to gain control over the patron.
U.S. citizens should be very cautious in general when using ATMs in Mexico. If an ATM must be used, it should be accessed only during the business day at large protected facilities (preferably inside commercial establishments, rather than at glass-enclosed, highly visible ATMs on streets). U.S. and Mexican citizens are sometimes accosted on the street and forced to withdraw money from their accounts using their ATM cards.

A number of Americans have been arrested for passing on counterfeit currency they had earlier received in change. If you receive what you believe to be a counterfeit bank note, bring it to the attention of Mexican law enforcement. Kidnapping, including the kidnapping of non-Mexicans, continues at alarming rates. So-called "express" kidnappings, an attempt to get quick cash in exchange for the release of an individual, have occurred in almost all the large cities in Mexico and appear to target not only the wealthy, but also middle class persons. U.S. businesses with offices in Mexico or concerned U.S. citizens may contact the U.S. Embassy or any U.S. consulate to discuss precautions they should take.

Criminal assaults occur on highways throughout Mexico; travelers should exercise extreme caution at all times, avoid traveling at night, and may wish to use toll (“cuota”) roads rather than the less secure “free” (“libre”) roads whenever possible. In addition, U.S. citizens should not hitchhike with, or accept rides from or offer rides to, strangers anywhere in Mexico. Tourists should not hike alone in backcountry areas, nor walk alone on lightly-frequented beaches, ruins or trails.

All bus travel should be during daylight hours and on first-class conveyances. Although there have been several reports of bus hijackings and robberies on toll roads, buses on toll roads have a markedly lower rate of incidents than buses (second and third class) that travel the less secure "free" highways. The Embassy advises caution when traveling by bus from Acapulco toward Ixtapa or Huatulco. Although the police have made some progress in bringing this problem under control, armed robberies of entire busloads of passengers still occur.

In some instances, Americans have become victims of harassment, mistreatment and extortion by Mexican law enforcement and other officials. Mexican authorities have cooperated in investigating such cases, but one must have the officer's name, badge number, and patrol car number to pursue a complaint effectively. Please note this information if you ever have a problem with police or other officials. In addition, tourists should be wary of persons representing themselves as police officers or other officials. When in doubt, ask for identification. Be aware that offering a bribe to a public official to avoid a ticket or other penalty is aa crime in Mexico.
It is increasingly common for extortionists to call prospective victims on the telephone, often posing as police officers, and demand payments in return for the release of an arrested family member, or to forestall a kidnapping. Prison inmates using smuggled cellular phones often place these calls. Persons receiving such calls should be extremely skeptical since most such demands or threats are baseless, and should contact the U.S. Embassy or closest U.S. consulate, or the Department of State for assistance.

U.S. citizens may refer to the Department of State's pamphlet, A Safe Trip Abroad, for ways to promote a trouble-free journey. The pamphlet is available by mail from the Superintendent of Documents, U.S. Government Printing Office, Washington, D.C. 20402, via the Internet at http://www.gpoaccess.gov/, or via the Department's Internet web site.

INFORMATION FOR VICTIMS OF CRIME: The loss or theft abroad of a U.S. passport should be reported immediately to the local police and the nearest U.S. Embassy or Consulate. If you are a victim of a crime while overseas, you should report it immediately to the nearest U.S. consular office and make a report to Mexican authorities. Do not rely on hotel/restaurant/tour company management to make the report for you. The Embassy/Consulate staff can, for example, assist you to find appropriate medical care, contact family members or friends and explain how funds could be transferred. Although the investigation and prosecution of the crime is solely the responsibility of local authorities, consular officers can help you to understand the local criminal justice process and to find an attorney if needed. Under the best of circumstances, prosecution is very difficult (a fact some assailants appear to knowingly exploit), but no criminal investigation is possible without a formal complaint to Mexican authorities.

Victims of crime may also report the crime to the Mexican Embassy or nearest consulate after arriving in the United States. However, delays in reporting the crime may hinder or even prevent prosecution in some cases.

See our information on Victims of Crime.

CRIME IN MEXICO CITY: In Mexico City, the most frequently reported crimes involving tourists are taxi robbery (see below), armed robbery, pick-pocketing and purse-snatching. In several cases, tourists have reported that men in uniforms perpetrated the crime, stopping vehicles and seeking money, or assaulting and robbing tourists walking late at night. As in any large city, individuals should exercise caution and be aware of their surroundings, especially when walking anywhere in the city.

Business travelers should be aware that thefts occur even in what appear to be secure locations. Thefts of such items as briefcases and laptops occur frequently at the Benito Juarez International Airport and at business-class hotels. Arriving travelers who need to obtain pesos at the airport should use the exchange counters or ATMs in the arrival/departure gate area, where access is restricted, rather than changing money after passing through Customs, where they can be observed by criminals.

Metro (subway) robberies are frequent in Mexico City. If riding the Metro or the city bus system, U.S. citizens should take extreme care with valuables and belongings. Avoid using Metro during busy commuting hours in the morning or afternoon. Tourists and residents alike should avoid driving alone at night anywhere in Mexico City.

Robbery and assault on passengers in taxis are frequent and violent in Mexico City, with passengers subjected to beating, shooting, and sexual assault. U.S. citizens visiting Mexico City should avoid taking any taxi not summoned by telephone or contacted in advance. When in need of a taxi, please telephone a radio taxi or "sitio" (regulated taxi stand – pronounced "C-T-O"), and ask the dispatcher for the driver's name and the cab's license plate number. Ask the hotel concierge or other responsible individual calling on your behalf to write down the license plate number of the cab that you entered. Sitio taxis may be distinguished from other taxis in Mexico City by the letter “S” that precedes the identification numbers on the side of the car and on the license plate.

Passengers arriving at Mexico City's Benito Juarez International Airport should take only airport taxis (which are white with a yellow stripe and a black airplane symbol) after pre-paying the fare at one of the special booths inside the airport.

CRIME IN CANCUN AND OTHER RESORT AREAS: There have been a significant number of rapes reported in Cancun. Many of these have occurred at night or in the early morning. Attacks have also occurred on deserted beaches and in hotel rooms. Acquaintance rape is a serious problem. In other cases, hotel workers, taxi drivers, and security personnel have been implicated. Please refer to our information for Victims of Crime.

Drug-related violence has increased in Acapulco recently. Although this violence is not targeted at foreign residents or tourists, U.S. citizens in these areas should be vigilant in their personal safety.

CRIME IN BORDER CITIES: Visitors to the U.S. – Mexico border region, including cities such as Tijuana, Ciudad Juarez, Nuevo Laredo, Nogales, Reynosa and Matamoros, should remain alert and be aware of their surroundings at all times.
Some border posts have seen an increase in violence over the past year, some of which has been directed against U.S. citizens. Local police forces have been ineffective in maintaining security in some regions along the border. Drug-related violence has increased dramatically in recent months, and shows no sign of abating. While U.S. citizens not involved in criminal activities are generally not targeted, innocent bystanders are at risk from the increase in violence in the streets of border cities.
In Ciudad Juarez, Nuevo Laredo and Tijuana, shootings have taken place at busy intersections and at popular restaurants during daylight hours. The wave of violence has been aimed primarily at members of drug trafficking organizations, criminal justice officials, and journalists. However, foreign visitors and residents, including Americans, have been among the victims of homicides and kidnappings in the border region. In recent months, the worst violence has been centered in the city of Nuevo Laredo in the Mexican state of Tamaulipas, where numerous citizens were kidnapped and/or murdered. U.S. citizens are urged to be especially aware of safety and security concerns when visiting the border region and exercise common-sense precautions such as visiting only legitimate business and tourist areas of border towns during daylight hours.

Mexican authorities have failed to prosecute numerous crimes committed against American citizens, including murder and kidnapping. Local police forces suffer from a lack of funds and training, and the judicial system is weak, overworked, and inefficient. Criminals, armed with an impressive array of weapons, know there is little chance they will be caught and punished. In some cases, assailants have been wearing full or partial police uniforms and have used vehicles that resemble police vehicles, indicating some elements of the police might be involved.

Visitors are very vulnerable when visiting the local "red light districts," particularly if they are departing alone in the early hours of the morning. In Ciudad Juarez and Tijuana, there has also been a rise in automobile accidents in which municipal police extort money from U.S. citizen victims.