Hey, why take my word and experience on it.

This is straight from the US State Department website.

CRIME: Crime in Mexico continues at high levels, and it is often violent, especially in Mexico City, Tijuana, Ciudad Juarez, Nuevo Laredo, 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 incidents, purse snatchings and hotel-room thefts. 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 a 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.