Lived in NM for many years. I liked the climate, the food is fantastic, and the atmosphere is relaxed. Well over 300 days of sun per year, and endless beautiful scenery. Lots of cheap housing near UNM, and not nearly as ghetto as it used to be. The downtown area is still pretty small compared to real cities, but has come a long way in terms of nightlife, dining and atmosphere. Decent skiing nearby in Taos or Pajarito (or less decent skiing at Sandia, Santa Fe or Sipapu). In the spring/summer, go rafting on the Rio Grande, and backpacking/hiking up in the mountains. Also tons of mountain biking and rock climbing to be had, as well as backcountry skiing; definitely plan to take up at least one outdoor activity, or you will miss out. Parking at the airport is cheap, and you save on low-octane gas due to the altitude. Even cheaper gas (and tobacco and gambling) can be had from the myriad Indian reservations in the area. Impress your female relations with visits to Santa Fe and Taos to look at art galleries. Check out the burning of Zozobra at least once. Camp out in Chaco canyon, and tour the Acoma Sky City and Carlsbad Caverns, and rid a sled down a dune at White Sands. Visit Four Corners and stand in 4 states at the same time. Get up early and see the annual Hot Air Balloon Fiesta (world's largest!). Try to develop some Native friends in the hope of getting an invitation to a tribal dance ceremony/feast. Buy turquoise jewelry from the Indians in Santa Fe Plaza. Also, go on the Farolito walk on Christmas Eve on Canyon road in Santa Fe. If you're Catholic, go on the Easter Pilgramage to Chimayo.
NM is home to lots of people from other places, so just cultivate a love of green chile, a smattering of Spanglish, a complex about how nobody can even find NM on a map, and a disdain for Texan tourists and you'll be fit right in.