I have only visited Nogales once, and when we crossed, we witnessed a man who was shot in the hand after an argument. We immediately left the scene and walked as fast as possible away from the situation. This was in the daytime around noon or so, very close to the border. We had just crossed the border and was trying to find a restaurant for lunch.
I have no idea if this is normal for Nogales as I have only been there once. I cross Tijuana often, and I have never witnessed a shooting there nor have I had any problems in the Baja California area. It was probably just sheer luck that I got to see a gunfight in broad daylight, but I'm sure others probably crossed without any excitement.