Sante Fe is beautiful, no doubt, and has some of the coolest architecture in the country, but the arts scene there is just a bit more corporate, just a bit more manufactured, just a bit more tourist-driven. Property owners charge absurd amounts for rent and galleries take huge commissions from artists, meaning few artists own their own studios or galleries. For more indie grit, hit up Albuquerque.
And for those of you who just tuned out for that whole last paragraph, beer. New Mexico has one of the most under-the-radar beer scenes with some truly fantastic breweries, and most don't distribute outside of the state.
Oh, and since I've talked about the great outdoors a lot, New Mexico has Santa Fe National Forest, Carson National Forest, Gila National Forest and Wilderness, the La Luz Trail, Dripping Springs Natural Area, Yapashi Pueblo, Sierra Ladrones, the Continental Divide Trail, White Sands National Monument, and so much more.