Not much, to be honest.

Most of the 'downtown' that people are referring to is Ave. Revolution (which isn't really their downtown, btw). Place is a tourist trap. I mean, you can have a Cesar Salad where it was allegedly invented at the Cesar Hotel on Rev, but as for anything else, there's not much there.

TJ's got some interesting stuff. Has a IMAX theatre at their Centro Cultural, some classic churches to see, and cheap food, but that's about it. Place has some really cool nightclubs, ones that rival the best in Socal, but they're off Rev and require a taxi to get there.

I don't particularly recommend it. Corruption is still a huge problem though it's getting a bit better. Mexican food stateside is just as good (if not better). The air is atrocious. The water still can't be drank. Traffic usually piles up and during rush hour most of the city is pretty badly gridlocked. Plus, it's a pretty confusing place to get around. Lot of one-way streets and traffic circles on their main Zona Rio drag (the real downtown).

My recommendation is Ensenada. Calmer, cleaner and not as much of a tourist trap. Plus, you get to drive along the beautiful coastline on their costal tollway.

Mexican insurance can be purchased in the states btw, Last two exits before the border has place selling it. In the $14-17 range per day, cheaper per month (then on a per-day basis). Prices are set by the Mexican gov't. It can also be bought online.

Watch your rental car company. They may charge a surcharge and rip you off w/ days worth of Mexican insurance which will be mandatory anyways.