Having been born and raised in Santa Fe, I can agree that it is not an inexpensive destination. However you may want to check out
http://www.budgettravelonline.com/bt...de_santafe.pdf as it has some great suggestions.
As
rkt10 mentioned Ten Thousand Waves is great (swimsuit optional for private tub, depending on hours also optional for public tub). And I agree with others about the Opera. Dress is casual if you want, I've been in jeans and no one cares. Of your above listed attractions I will pare it down to my completely subjective opinion of what I like.
Georgia O'Keeffe Museum (haven't been but heard good things)
Loretto Chapel Museum
Museum of International Folk Art
Palace of the Governors
St. Francis Cathedral
Wheelwright Museum of the American Indian
In addition, I recommend:
Oldest Church in the US
Oldest House in the US
Canyon Road
Day trip: Head north on Hwy 84, about 10 miles out of town on the left side is a rock formation called Camel Rock. Stop and take pictures (10 minutes, 15 tops)
Continue North, about 5-8 more miles is a little winery on the right. Stop and get a couple of bottles of Indian Market White. The rest of the wines aren't that great, but this one is very good. The sales person there is very unfriendly, so don't think he is just unfriendly to you.
Once you get close or past Espanola, turn off toward Los Alamos. Go to the Bradbury museum at Los Alamos National Labs (
http://www.lanl.gov/museum/).
From Los Alamos (or LA as the locals call it!), go to Bandelier National Monument
http://www.nps.gov/band/pphtml/planyourvisit.html. It has some great cave dwellings of ancient indian stuff, and ceremonial pits.
From a dining standpoint, as mentioned Tia Sophia's is good. I also like Maria's Mexican Kitchen (on Cordova road, not near downtown), Bobcat Bite really does have excellent burgers, and the locals favorite for Frito Pies is the at the "Five and Dime General Store" on San Francisco Street on the Plaza. Super touristy store but in the very back is a little known lunch counter that serves the best and spiciest Frito Pie on the planet. When the store used to be a Woolworth's with a real restaurant they had invented this Frito Pie and when Woolworths went out of business and the Frito Pie disappeared from there the locals were so upset that they had to bring it back!
Enjoy! I'll be there in October!